To back-up Favorites:

1. Open Internet Explorer, go to File, click Import and Export:
   
2. The Import/Export Wizard will launch. Click Next.
3. From the options presented, choose: Export Favorites. Click next:
   
4. If you only want to export a specific folder choose it, otherwise, leave the default (favorites) to export all your favorites. Click Next.
5. Browse to the folder you will be using for your backup, choose open to open the folder and save to save your option. Click Next button.
6. Click the Finish button to complete the Exporting Wizard.

To back-up Cookies:

1. Follow steps 1 and 2 above.
2. Choose Export Cookies from the options shown. Click Next.
3. Follow steps 4 and 5 above.

Restoring Favorites or Cookies is as simple as running the Import/Export Wizard and choosing Import instead of Export. Browse to your back-up location, click Open, then Next.

If you'd like to save more than just your Favorites or Cookies you can use BackRex Internet Explorer Backup. It can back-up and restore Internet Explorer favorites, settings, cookies and more.