I'll do it for you in lamen terms no problem lol
apologies in advance if any of this sounds to patronizing
1. Go into "My Computer" on your desktop
2. Double click your "C" drive
3. Open the "Documents and Settings" folder
4. Open the "(your computer username)" folder
5. You should see a folder called "Favorites"
Alternatively, go into Start Menu - Search - Files or Folders, and type "Favorites" lol.
I assume you know how to burn it onto a CD? Let me know if that works.