It would help if you told us which browser you're using! ;-)
A long time ago, I experienced a similar problem with Internet Explorer. (It was probably version 4 or 5 at that time). I wasn't able to solve the problem until I re-installed IE (or, more likely, upgraded it) from a magazine cover disk. I've no idea why the problem happens but Internet Explorer stores each 'favorite' as a separate shortcut. (That's certainly true up to version 6. I don't know whether IE7 still does the same). There does appear to be a maximum number of such shortcuts that IE can handle. Firefox uses a different method of storing 'bookmarks'; they are all listed on a single HTML page, which is updated every time a bookmark is added or deleted
If you're using Internet Explorer, you could try upgrading or re-installing the program. A far better solution, however would be to switch to Firefox which offers a superior method of saving bookmarks. (You can import all of your IE favorites at the click of a button):
http://www.mozilla.com/
Chris