C:\Documents and Settings\[your username]\Favorites and copy everything from that folder. Those are all your favourites. If you ever need to restore, just copy them back to that folder.
Hope this helps,
can any one tell me how to backup onto a floppy all the urls in my favs drop down in internet explorer.
I had a virus a short while ago and managed to get rid of it, but it took all of my favs listings with it.