yes. the file you're looking is called "favorites". I"m at work on my peecee so i can't tell you exactly where they are located.
use sherlock in OS9 and search for "favorites"
you'll notice there is one on your oS9 system ->preferences folder. copy that file to your osx desktop
now go into osx and search for "favorites" on your osx drive
copy over the favorites you see (there's a default_favorites in there, too).
fire up IE in OSX and you're set.
If you have problems then let us know and we'll hold your hand thru the process.