I have had this problem also, and correct me if I'm wrong, but do you mean that you delete the Favorites folders that you dont want, but the next time IE starts they're back again, correct?
That was my problem, and here's how I solved it:
If you explore to C:\Windows\Favorites, you will see a listing of everything in you IE Favorites listing: folders and Internet shortcuts. All you have to do is right click on the folder you don't want, go to Properties, check the "Hidden" box, then Apply. This will keep that unwanted crap out of IE.
Hope that helps
Joe