Mr J,
it will depend on your browser maybe.
I use Firefox so I select 'Bookmarks - File - Export - choose a place to
'save in' and this does exactly what you are asking for.
In IE6, File - Import & Export - then work through the Wizard to the Finish
and you will have what you ask for.
Internet Explorer also has an "Import and Export" for Favorites on its File
menu. It creates a file named bookmark.htm (in your My Documents folder),
which can be opened by the Word app.
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