I think that IE is storing the order in the Windows registry. IE stores the favorites as files and folders on the hard drive and Firefox will likely import this file structure without modifying this order.

You can export the favorites in IE to an HTML file and import that file in the Firefox Bookmarks Manager.

If you do not have the menu bar in IE then right-click the toolbar at the top to enable the Menu Bar.

• Export the favorites in IE to an HTML file (bookmarks.html):
  File > Import and Export
• Import the HTML file in Firefox:
  Bookmarks > Show All Bookmarks > Import & Backup > Import Bookmarks from HTML

See "Import from another browser" and "Import from file":

• http://kb.mozillazine.org/Import_bookmarks

I did all that, but the order didn't change. Not sure it worked....the exported file is only 304kb. When I copy my favorites, it's like 6mb.

Win 7 and up auto-alphabatize files in the directory. Somewhere it's storing the order as displayed in IE, as the order is preserved when Easy Transfer is used to transfer settings to another computer.