I found an easier way to do this procedure:
In recent versions of Ubuntu Firefox you click Bookmarks--->Show All Bookmarks--->Import and Backup--->Export HTML. From here you export a bookmarks.html file to a location in your Windows partition (I put the bookmarks.html file in My Documents.). You then boot into Windows.
Once in Windows go into Internet Explorer. Then go to File--->Import and Export. You'll get an Import/Export Settings wizard. Once here click Import from a file and then click next. Under the next dialogue box that comes up check Favorites and click next. Here you browse to the bookmarks.html file that you saved while in Ubuntu and click next. The dialogue box that comes up will tell you to select the destination folder for your Favorites. The Favorites folder will already be selected. Click Import. You have now synced your Ubuntu Firefox bookmarks with your Internet Explorer Favorites.
The version of Windows I have on my computer is Windows XP. The procedure for importing the bookmarks.html file should be similar in other Windows versions.