After clicking download, the bookmarks will appear in your browser.Use your Browser's "File/Save(As)" menu to save the bookmarks to your local filesystem
"Program Files\Netscape\Users\{username}"
"Users/{username}/Library/Safari"
"Program Files\Opera
"\Documents and Settings\{Username}\Application Data\MSN6\UserData\{UID}
pushd %USERPROFILE%\App*\MSN6\Us*\{*
copy favorites.xml "%USERPROFILE%\My Documents"