I have since found a procedure for doing this:
1. Use the IE/Win Import/Export Wizard (File->Import and Export...) to export your collection of Favorites to a single file in HTML format. Let's assume it will be called "bookmark.htm".
2. Copy "bookmark.htm" from the PC to ~/Library/Preferences/Explorer/Favorites.html for use with IE/Mac OS X.
3. Open Safari, which will automatically import the bookmarks from IE's preferences. You will be able to see them in the Bookmarks window by selecting Bookmarks->Show All Bookmarks.
Should that not work, because Safari had been launched prior to this, consult Apple's Tech Note 107636 for resetting the appropriate Safari preferences. Then Safari will properly behave as in step 3. above.
Dominik Hoffmann