Import/export functions between IE and Firefox never seem to work very well for me, no matter how I go about it. Either the structure of the bookmarks folders doesn't import into IE properly, or (more commonly) I get an IE error message about it not being able to convert the file. I just tried it in IE7 and got the error message.
There maybe better way of doing things but I've got used to using a Firefox extension called 'Favorites Converter'. This exports Firefox's bookmarks folders intact into IE's Favorites folder either automatically, or with a couple of mouse-clicks. This works OK with IE7 for me.
Setting up in Firefox has a couple of drawbacks:
1. The extension has not been updated for a while. 'It needs to made compatible for later Firefox versions either manually or by using the 'Mr Tech' extension.
2. Another small problem might be encountered no matter how bookmarks/favorites are imported/exported:-
What IE calls the 'Links' folder, is called the 'Toolbar' folder in Firefox. So, any bookmarks in the Toolbar in Firefox, would need manually moving into 'Links' once they are inside IE. Nonetheless, when working, the extension provides a quick way of updating IE Favorites to keep them in sync with the Bookmarks in Firefox. Be aware though that exporting using the extension will overwrite existing IE Favorites. Once any updating has been done, it will be necessary to shift the 'Toolbar Folder' bookmarks back into the 'Links' folder again. Best done from within Windows Explorer in my opinion.
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When the bookmarks are got into IE, another option could be to use the 'PlainOldFavorites' extension. This lets Firefox use IE's Favorites folder for bookmarks. Bookmarks can be added to this from Firefox. The advantage being that one set of bookmarks can then be used for both browsers.
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