This is a relatively simple operation and invaluable if anything goes wrong. To back up your favourites using Internet Explorer, go to File > Import and Export. The Import/Export wizard will open and all you need to do is follow the instructions and Export a back up of your favourites to another location on your hard drive or even better, to a second hard drive. The exported folder can then be saved to disk using a software backup program such as nero or the like!
You can import your favourites into Internet Explorer in the same way