I assume by Ubuntu you mean the browser you are running on Ubuntu. So
we'll go with that: "favorites", more properly "bookmarks" are kept by
most browsers in an html file hidden deep in the filesystem. I don't
think IE does (no surprise), but IE does allow you to export "favorites"
into an html file. Once you do that, what happens next depends on what
browser you are using on Ubuntu. Some browsers have an import function,
some don't. I usually just move the file from the IE system (via
sneaker-net, LAN, whatever) to where the Ubuntu particular browser keeps
it's bookmarks. For my systems I use Firefox/IceWeasel and the
bookmarks are in:
/home/<username>/.Mozilla/Firefox/6jluxu4i.default/bookmarks.html (the
name of the "6jluxu4i.default" directory will vary by user). That's it.

BTW(1), make sure your browser is not running when you move the
bookmarks or they will be written over when the browser closes.

BTW(2), you might have to use the dreaded command line to do this.

Alternatively, download google toolbar for IE and Firefox for your
ubuntu PC. On IE PC copy bookmarks to google bookmarks... then when
you go to ubuntu PC they are all there.

That is sure an option but for my $0.02, I don't want google knowing any
more about me than they already do. The sites I visit are NOTFB. But
hey, what do I know?

someone wrote an excellent article about a couple of
years ago... i'll try and find it.

I don't think google are 'big brother' - they do collect some
statistics for developing areas of their business. As for googling
nuclear weapon stuff or some such - i don't think the FBI will come
knocking.

I don't like the browser for some things and their searches are
'weighted' - but other google apps are excellent i think.

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.