There is no Favorites folder in Firefox.
Go to: "C:\Documents and Settings\Username\Application Data\Mozilla\Firefox\Profiles\default.fuo\book" and open the "bookmarks.html" file.
Remember that you need to change the "Username" in the path to the name of your Windows profile and that the "Application Data" folder is hidden.
If you want to export your bookmaks you can go to Bookmarks > Manage Bookmarks. That will open the bookmark manager. Once it is open just select File > Export.