In IE:
File > Import/Export - Export to HTML file

then in Firefox:
Bookmarks > Show All Bookmarks -> Import & Backup - Import HTML... = From HTML file

Excellent, followed instruction, easy and transfer was easy and quick

When you import you bookmarks, they will be added to the end of your Bookmarks Menu. You will have to move folders and bookmarks from there to where you want them. I would suggest adding two bookmark separators to the end of you Bookmarks Menu before you do the import so you can see what has to be moved or removed easier.

• Import bookmarks - MozillaZine Knowledge Base

After you have imported and moved bookmarks where you want them here are some suggestion to make it easier to work with bookmarks.

• Sorting and rearranging bookmarks - Firefox - MozillaZine Knowledge Base
• SortPlaces :: Add-ons for Firefox -- Don't set it up to sort automatically, it will be very confusing to work with if you do. It only takes about 4 seconds to sort all of your bookmarks, when you are ready.
• Add Bookmark Here ² :: Add-ons for Firefox
• http://dmcritchie.mvps.org/firefox/addbookmarkhere2.txt

Gobbledegook!! How about a step by step Favorites to bookmarks folder.

@ RJB1 The first answer provided by the-edmeister assumed correctly the user was familiar with the menu bar and menus in general. If you are then use the "Alt" key to temporarily show the menu bar.

My answer was more in-depth for those that know what they are doing, and what they want, and how to make things much better than what would be seen by following simple directions, or what might have happened but not immediately apparent.

I think you want a support page to provide minimum help to the majority of the users to answer a specific question and if the page is useless for 20% of those having a problem, you get sent here. Think about it, if you ask a question and then have to get more help on a couple of aspects how does that affect getting effective help from such a page. You missed the first turn which was to import your favorites when you installed Firefox.

Try this one first:

• https://support.mozilla.com/kb/Importing%20favorites%20and%20other%20data%20from%20Internet%20Explorer

If items are grayed out, then try this one, even though on the same computer:

• https://support.mozilla.com/kb/Importing%20Internet%20Explorer%20Favorites%20from%20another%20computer

If you still have a problem check out the following, and the last response mentions permanent private browsing set in options, where bookmarks are not going to be saved.

• Trouble importing IE favorites | Firefox Support Forum | Firefox Help

  https://support.mozilla.com/en-US/questions/763524

  http://support.mozilla.com/en-US/kb/Private%20Browsing