Assuming you're using XP, navigate to C:\Documents and Settings\All Users\Start Menu\Programs.
Click on File\New\Folder. This will create a new folder in your Start Menu. Call the folder 'Favourites' (or whatever).
Now navigate to C:\Documents and Settings\Your user name\Favorites.
Now, click on Edit\Select All to highlight all of the Favorites icons and then, at the left-hand side, click on 'Copy the selected items'.
Copy your existing Favorites to the newly created 'Favorites' folder at C:\Documents and Settings\All Users\Start Menu\Programs\Favourites.