Export from outlook:
File ---> Import and Export ---> export to file ---> Personal folder file (.pst) ---> Select your mailbox and tick Include Subfolders. Choose where to export to and then click finish.
Copy the pst file you created to your desktop then do an "Import from other program or file" and choose to import a personal folder file.
Your favourites will be in folder "C:\documents and settings\Your Profile Name\Favourites.
Just copy the folder to your profile on your desktop.