it should give you the option (when installing firefox), to import you ie settings, i dont know if it includes favorites and i dont know if you can do it any other time, but it might be worth a try.
all your IE favorites are saved in
C:\Documents and Settings\" users name "\Favorites
the users name would be the user you are loged on as such as
C:\Documents and Settings\Administrator\Favorites
or
C:\Documents and Settings\Guest\Favorites
and so on
that is unless you tell IE to save them somewhere else