Importing favourites from firefox to IE

Where are the files for my favourites located that are stored in firefox? I've checked my favourites folder in C:\Documents and Settings.... and the Mozilla Firefox folder in Program Files but they don't seem to be located there. Is there a way of importing them across to IE as I sometimes use IE as well as Firefox?

 

in FF, go to

BOOKMARKS-->MANAGE BOOKMARKS

next go to

FILE, then EXPORT
It will export to a html file. Choose a destination and remember it.

Now in IE, go to FILE, IMPORT AND EXPORT and choose to IMPORT FAVORITES.
Point it to the bookmarks folder you just exported from FF.

 

thanks kodo, really helped!