Locating the favorites file on Windows Vista / Windows 7
 
1. Click on Start then on the Start Search box, type %USERPROFILE% and press Enter on your keyboard.
2. Set the computer to display hidden files and folders: 
    a. In the window that opened, click on Organize at the top left hand side then click Folder and Search Options 
    b. In the Folder Options window, click on View at the top 
    c. In the Advanced settings section, look for Hidden Files and Folders. 
    d. Under Hidden Files and Folders, select “Show hidden files and folders” 
    e. Under Show hidden files and folders, uncheck the two options: 
        i. Hide extensions for known file types 
        ii. Hide protected operating system files (Recommended) 
    f. Click Yes 
    g. Click Apply 
    h. Click Ok
3. Double-click the AppData folder.
4. Double-click the Roaming folder.
5. Double-click the MSN6 folder.
6. Double-click the Userdata folder.
7. Set the view to a larger one, like thumbnails or large icon.
8. Open the folder that shows the image you use as your Display Picture
9. Right-click the favorites.xml file and click Copy.
10. Go to the Desktop and right-click on any blank space and click Paste.

That favorites.xml file can be opened using Internet Explorer. The URLs or links are in there and this method is only recommended for those with really long lists and cannot easily rebuild the Favorites. For those with only a few items, rebuilding them on Internet Explorer should not take long.