Correct. Bookmark.htm is Netscape. Internet explorer actually saves a bunch of shortcut files in an actual folder tree.
Where this "favorites" tree is located depends on the operating system and whether or not you've got it configured for multiple users.
For instance, if you're on 95 and it's single-user, then the folder is Windows/Favorites. If you've got multiple users on 95/98 then I think it's Windows/Profiles/Username/Favorites. If you're on Windows 2000, it's c:\Documents And Settings\Username\Somethingsomething I dunno.
So once you've got Explorer showing you hidden files, fish to the favorites folder (wherever it is) and unhide everything.