Which OS\version of I.E. are you using?
Just guessing If you have been using it for a few years without a reformat you may be due. I'm no PC pro, but from what I understand files simply get corrupt or get lost and Windows should be reformatted from time to time to keep it up to snuff.
As far as saving your favorites, you should be able to do that with the back up built into windows. When you start the back up program you should be able to save "my documents" which includes all your favorites. Mater of fact when restoring a back up file after reloading windows, my doc's was the only one that I was successful with. Everything else like music files I would put on a CD or DVD.
If you are running XP Home and don't have the back up program listed, post back if you are interested. It is on the XP Home disc and can be added.