Your "favorites" are contained in the Documents and Settings folder, under your user name, not in the registry.
It is a good idea to backup this entire folder on a home PC, including all users, which will also capture most of the registry. The rest of the registry is in C:\windows\system32\config, which you might also do well to backup.
Since some of the files contained therein are "locked" while XP is running, use the Microsoft routine called NtBackup.exe to save a copy of this directory. It can copy files that are in use. If Ntbackup.exe is not installed, look for it on the XP CDROM:
1. Go to the folder on the CDROM called Valueadd\msft\ntbackup
2. Double-click on the file ntbackup.msi
3. When the wizard is complete, click Finish.
Also, since the "favorites" are nothing but a collection of link to web pages, and each link is its own file, you could also save "favorites" by a simple copy&paste from Documents and Settings to anywhere else.