In Firefox, there is an option in the File menu to "Import" which will import the Internet Explorer "Favorites".
Alternatively, use the option in Internet Explorer's menus, "File > Import & Export" to export the Favorites, which will create a "Bookmark.htm" file.
In Firefox, click the Bookmarks menu and select "Organize Bookmarks". With that page open, select the "File > Import" menu and you will now have the option to import a file. Navigate to where you saved the Bookmark.htm file and import it.