I am using an administrator account and when you hit 'Add a favorite' a box appears with the URL and the option to 'create in'. If I try to create it in any folder I am denied permission. If I create it just in the Favorites list it works, but then I have to open organize favorites, highlight it and then hit Move and put it into a folder
If it is unclear, the folder I am trying to save it in is also in Favorites, it is just a way of organizing the favorites. I am not trying to save it to another folder 'outside' of IE.