BTW, try google chrome, its speedy devil ...
Do this ....
1. Open Firefox, Toolbar go to Bookmarks/Organize Bookmarks.
2. Expand Import and Backup and select Export HTML.
3. Then export your Firefox bookmark collection to a desktop location.
4. Open Internet Explorer 9 and hit Alt+T to bring up the Toolbar. Then click File / Import and export.
5. In the Import/Export Settings select Import from a file. Notice there is Import from another browser.
6. Now browse to the location where you saved the exported Firefox bookmarks previously.
7. Select the destination and click Import.
I'd use Chrome, but my biggest need is Foxytunes - which doesn't work with Chrome.
I did what you suggested, but that only transfers the bookmarks. I still want to transfer cookies, passwords, etc