what exactly do you mean by "list of favourites".
The import lets you specify folders of which contains url shuortcut files. That is the only way you can do it.
you can create the favourites on any machine, and they all save to the "c:\documents and settings\%profile%\favourites" and then when you add that folder via "import" in the GPOE.
If by list you mean that you have a text file with URLs in it, then we would have to try and create a script that would create the favourites client side, or server side (once) and then apply the GPO with that folder imported.
Hope this Helps.
Neil J Cotton
njc Information Systems
Systems Consultant