To save them from IE do the following (Windows 2000):

File > Import and Export > Next

Export Favorites > Next

Select action (Export Favorites)
Select the folder (Favorites) > Next

Select "Export to a file or address" > Next

Click Browse Button > Save

It will save the file name as bookmark.htm you can save this file to a floppy disk , memory stick or a location on your hard drive or you can burn it to a CD.

Alternatively you can search for the bookmark.htm file on your hard drive and save that as well. Not sure if this will work on Xp or Vista though.