It's just a bunch of files and subfolders in a normal Windows folder (called Favorites, location depends on OS and if you use profiles). If you've got a zip-program you can zip the whole lot in one zip-file, mail it to yourself on your new computer and unzip it there.
The 'official' way is to File>Import and Export in IE. Choose export favorites on the old, and import favorites on the new computer. All information is very conveniently stored in one file, called bookmark.htm, and that can easily be mailed also (that's easier and faster than burning to CD, and floppy won't work if you don't have one on the new computer.
And, of course, it makes sense to BACKUP your favorites as part of your normal regular backup activities, like any other info you don't want to lose. In that case, the simple answer is: restore from the backup of the old computer on the new computer. But I get the impression you don't backup your favorites at the moment. I would advice you to reconsider your backup strategy.
Hope this helps.
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