Transfering IE Bookmarks to Linux Mozilla

How can you transfer you Windows IE 'Favorites' to Linux Mozilla 'Bookmarks'?

Do I have to install Windows Mozilla and convert them?

Plz Explain step by step!

Open the IE,
File -> Import and Export...

and export your favourite. It will export it in a single html file.
Copy the file over to Linux.
Put it anywhere you want.
Open the Mozilla and import that file.

To import in Mozilla,

Open Mozilla.

Bookmarks -> Manage Bookmarks -> Tools -> Import...