Bonjour Chrissie,
In Internet Explorer, click the File menu and "Import and Export...".
Within the Import and Export window click Next.
Click "Export Favourites" and click Next.
Select the folder wish to backup; if you wish to backup all favourites, leave the Favourites folder highlighted and click Next.
Select the destination you wish to save the favourites and click Next. (You can make a new folder before you start, to export them to, ie in My Documents .. )
Click Finish. Once there in your Folder you can then copy that folder and burn the contents to a disc.
hth.