Favorites are saved as individual files in a directory. Bookmarks used by
Firefox are saved as an html page. There are three ways to go about this. One is
from IE export the files which will save it as an html file which you then copy
over to your Linux box however you care to do that. Then in Firefox in Linux you
got to Bookmarks, Organize Bookmarks, Import, From html file at which time you
have to locate the file that you made in IE.

A second way would be to install Firefox in Windows and import you favorites
into Firefox there. This would create the necessary html file which you could
just bring over and put it into your .mozilla/firefox folder in your home
directory.

A third and simpler way is to import your Favorites into Firefox in Windows and
then get an Add-on for Firefox (from Windows) such as Foxmarks or Clipmarks and
then create an account. Then you upload your bookmarks. On the Linux end you
only need to get the Add-on and then open your account and synchronize, being
careful to merge the data. Now you can keep your two installations synchronized.