You're going to have trouble because it's not an actual folder with URL shortcuts; that's just the view that explorer provides.
Use a command prompt window to navigate to:
C:\Documents and Settings\<username>\Local Settings\History
and then type the command "dir /a"
You'll see only a desktop.ini file and a subfolder: history.IE5
"cd history.IE5" followed by "dir /a" will give you a listing similar to this:
01/31/2005 03:44 AM <DIR> .
01/31/2005 03:44 AM <DIR> ..
02/24/2004 02:22 AM 113 desktop.ini
01/31/2005 01:33 PM 1,064,960 index.dat
02/22/2004 10:38 PM <DIR> MSHist012002092220020923
02/22/2004 10:38 PM <DIR> MSHist012002102820021029
02/22/2004 10:38 PM <DIR> MSHist012002102920021030
02/22/2004 10:38 PM <DIR> MSHist012002103020021031
02/22/2004 10:38 PM <DIR> MSHist012004021620040217
02/22/2004 10:38 PM <DIR> MSHist012004021720040218
02/22/2004 10:38 PM <DIR> MSHist012004021820040219
02/22/2004 10:38 PM <DIR> MSHist012004021920040220
02/22/2004 10:38 PM <DIR> MSHist012004022020040221
02/22/2004 10:38 PM <DIR> MSHist012004022120040222
02/22/2004 10:38 PM <DIR> MSHist012004022220040223
03/08/2004 02:35 AM <DIR> MSHist012004030120040308
03/15/2004 12:00 AM <DIR> MSHist012004030820040315
03/13/2004 12:12 AM <DIR> MSHist012004031320040314
03/22/2004 12:00 AM <DIR> MSHist012004031520040322
03/29/2004 12:00 AM <DIR> MSHist012004032220040329
06/20/2004 11:00 PM <DIR> MSHist012004061420040621
06/27/2004 11:00 PM <DIR> MSHist012004062120040628
06/28/2004 11:36 AM <DIR> MSHist012004062820040629
06/28/2004 11:24 PM <DIR> MSHist012004062920040630
06/29/2004 11:00 PM <DIR> MSHist012004063020040701
06/30/2004 11:36 PM <DIR> MSHist012004070120040702
07/01/2004 11:18 PM <DIR> MSHist012004070220040703
07/03/2004 12:41 PM <DIR> MSHist012004070320040704
11/08/2004 12:00 AM <DIR> MSHist012004110120041108
11/08/2004 12:03 AM <DIR> MSHist012004110820041109
11/09/2004 12:00 AM <DIR> MSHist012004110920041110
11/10/2004 11:02 PM <DIR> MSHist012004111020041111
11/11/2004 12:47 PM <DIR> MSHist012004111120041112
12/27/2004 12:33 AM <DIR> MSHist012004122020041227
12/27/2004 01:08 PM <DIR> MSHist012004122720041228
12/28/2004 12:30 AM <DIR> MSHist012004122820041229
12/29/2004 05:23 PM <DIR> MSHist012004122920041230
12/30/2004 12:02 AM <DIR> MSHist012004123020041231
12/31/2004 12:06 AM <DIR> MSHist012004123120050101
01/01/2005 03:40 PM <DIR> MSHist012005010120050102
01/02/2005 02:19 PM <DIR> MSHist012005010220050103
01/17/2005 03:24 AM <DIR> MSHist012005011020050117
01/24/2005 12:15 AM <DIR> MSHist012005011720050124
01/31/2005 02:33 AM <DIR> MSHist012005012420050131
01/31/2005 03:44 AM <DIR> MSHist012005013120050201
each of those subfolders contains a single index.dat file which, if you examine in a text editor, will contain URLs amidst lots of spaces and nonsense
. Try looking at the index.dat file in the folder with the latest creation date and you should recognize some URLs from today's history. Not sure how one would go about parsing this to get useful information.
Good Luck,
Keith