Yes, it's quite easy. You need to export your favourites from IE, it saves it in a file called bookmarks.htm. Select File->Import and Export. Follow the wizard's prompts to Export Favourites. Then, in Linux, go to Mozilla's Bookmark Manager (Bookmarks->Manage Bookmarks). In the Bookmark Manager window, select Tools->Import, and navigate to the bookmarks.htm file you just saved. Clicking on Open will import these bookmarks into Mozilla.
Don't just change to Mozilla, have a look at OpenOffice.org as a replacement for word processing, spreadsheet, drawing, presentation, etc. It is a really capable package - far more capable than a home user could wish for - and the help files are just fantastic. If you can't get Samba to talk to Win XP, then you could always transfer to the XP machine with a floppy or CD.