Microsoft Internet Explorer 4.0.1 for Windows 98/Windows NT 4.0,Microsoft Internet Explorer 5.0 for Windows 2000/Windows 95/Windows 98/Windows NT 4 Import/Export Favorites Vulnerability

source: http://www.securityfocus.com/bid/627/info

The ImportExportFavorites() method, used to import and export favorites to/from a file in IE5, can be made to write to any file on the system, in some cases from an email or remote webpage.

This will create a file in the root of C: containing the user's favorites.
<SCRIPT>
window.external.ImportExportFavorites(0,"c:\\fav.hta");
</SCRIPT>