If you're referring to the option to save tabs after Alt-F4,
you should know that operation now happens automatically.
Use Tools, Reopen last browsing session instead the next time
you open IE if you want to use the saved tabs.
If you mean adding a tab group to favourites, it's still there - click the
favourites button (star) and then the little arrow to the right of "Add to
Favorites" at the top, and choose "Add Current Tabs to Favorites".
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