Show hidden files and folders
Then go to Bookmarks > Organize Bookmarks
Click on File > Import
Follow the instructions.
If you are using Windows 9x/ME, find
bookmarks.html in this folder:
C:\Windows\Application Data\Mozilla\Firefox\Profiles OR
C:\Windows\Profiles\your username\Application
Data\Mozilla\Firefox\Profiles
If you are using Windows 2000/XP, find
bookmarks.html in this folder:
C:\Documents and Settings\your username\Application
Data\Mozilla\Firefox\Profiles
Vista should be the same.