Well it's been awhile since I did it... but I think all I had to do was open up the favorites in IE and the bookmarks in Safari and then drag and drop from one to the other. I think I had to reorganize them in safari after i did it though.
It only imported some (not all) of the favorites in the favorite bar. I had to drag them one by one from IE to Safari, unfortunately you must do it one by one, you cannot drag a group of favorites or a folder, only the first one will be copied
M
Activate the Debug menu in Safari. There is a line in the terminal you can type or you download Safari Enhancer and enable Debug Menu. Then select "Import IE Favorites" and they are imported.