In Leopard, if you want to move all of the windows associated with a given application from one Space to another here's how to accomplish that:

- Hit F8 to show all of the Spaces at once. F8 is the default hot key for this command, if you've changed it, hit whatever you've changed it to.

- Hold down the Shift key and click on one of the windows for the application you want to drag into another Space. Once you move this window to another space, all of the other windows for this application will follow and end up in the new Space.