the easiest way would be to type . (dot) on the run command (Start>Run)
That will open your profile.
Alternatively you can go to the C drive, and then to the folder "Documents And Settings"
Once inside documents and settings, you will see folders with usernames. Go into the folder that correspond to the user that you want to backup and restore the favorites from.
Also, the All Users have the profiles for all the users in the computer, so if you put the favorites inside that folder all users will get those Favorites (the same for the desktop folder and My Documents).