Helping people with computers... one answer at a time.
Since your Favorites are stored in a folder on your machine, backing them up in case of a system crash is a quick and painless process.
Is there a way to save my 'Favorites' in case of a system crash?
Favorites is just a folder on your machine. In Windows XP it's probably in c:\documents and settings\-username-\Favorites, where "-username-" is replaced with the name you used to log into Windows. Copy that directory and its subdirectories off somewhere, and it's been saved.
However, if you're worried about a system crash then you may want to consider backing up more than your favorites.