Go to documents and settings, yoiu will see a folder or an icon for your favourites. Drag and drop that to copy to CD or memory stick and then transfer to your new computer from there.
Alternatively, you could just e-mail yourself the list of favourites and add them manually at the other side.
IF you want to change you mail and account settings, cookies, favourites etc. etc. all at the same time use the File and Settings Transfer Wizard in your Start/All programs/Accessories/System tools, that is presuming you're using XP.