Are you referring to your Internet Explorer favorites?
Let us know
Could you right click the start button and choose Explore, Then navgate to C:\Documents and Settings\yourusername\Favorites andyu should ee all of your favourates listed.
From there you can delete, Copy or move them to a different machine.
Let us know if you need more info.
That is the default folder for all of your favorites, If they are not there then I assume something else is happening so could you tell me what prompted this search for them?
Did they disappear from your IE window?
If you could open your Internet Explorer then click Favorites to open the drop down window, Find your favourite in the window and right click it, Then choose send to, Desktop (create shortcut) nd repeat those steps for each one you wish to have an icon for.
Let us know how you get on.