Hi Midnight this is very easy to do,.
The favourites are stored in a folder called favourites on your hard drive. Where, depends on the version of Windows you use. For win 2000 and XP installed on C:\ drive, the folder will sit under C:\Documents and settings>XXXX>Favourites where XXXX is your logon name.
Simply copy this folder to a disk/CD/other hard disk partition.
For Win 95, 98 ect. I think it is under C:\Windows>favourites