I don't use MSN Explorer and never have, but see here:
http://forums.windrivers.com/showthread.php?t=48114
Their Favorites are apparently stored here:
C:\Documents and Settings\%USERNAME%\Application
Data\MSN6\UserData\{771BFA30-D788-01C2-0300-0000FC43FAB6}\Favorites.xml
It is an .xml file, which can be opened with a web browser, or can be opened and
edited with Notepad. I imagine editing it to remove the lines representing the
favorites you want to delete would work, but I can't guarantee it. If you edit it,
make a backup elsewhere of the .xml file FIRST, so you can replace it if you mess
up. Be sure MSN Explorer is Closed when you edit the file.
To get to the folder and file in question, you may have to set your system to show
all files:
Start Menu> My Computer> Tools menu> Folder Options> View
Under Advanced Settings> Hidden Files and Folders, click Show hidden files and
folders.
Uncheck Hide protected operating system files, and Hide extensions for known file
types.
Click Apply, OK.
Alternately, you can try this instead of editing the .xml file:
Download the MSN Favorites Export Toolkit mentioned in the thread I linked above, to
export your MSN favorites to a bookmark.htm file (Be sure to read the readme file
with the download). The open Internet Explorer and use File menu> Import to import
the MSN favorites into IE. Organise and delete them as you wish, either through the
IE interface, or as I mentioned in my original reply. When done, you can export the
revised IE favorites to a file, then open MSN and import them from the file or from
IE directly. You *may* probably have to first rename the current Favorites.xml file
so you don't end up with a huge file of duplicates.
Also see here:
http://forums.mozillazine.org/viewtopic.php?t=307572
As I said, I do not use MSN and cannot test or vouch for these procedures. You may
want to try asking in an MSN Explorer forum or directly to MSN Explorer support:
http://support.msn.com/default.aspx?productkey=explorer&page=support_home_options__v2
(Yeah, good luck with *that*).
Sorry I can't be of more help.