Your favorites folder can be found in c:\windows\favorites for windows 9x or c:\documents and settings\$username$\favorites for windows 2000/xp. You can explore to this then use alt + print scrn to get a screen dump which you can paste into word then print.
seen on tv lastnite, mybookmarks.com looks excellent for sorting your favs online.. haven't been yet but apparently you can work their supersort gizmos offline too. so maybe a free download..