Well, I'm thinking I might have misremembered the conversation.
There is a program called
Spider which will get rid of the stuff that IE doesn't delete when you tell it to delete the stuff. Whether or not it will do the favorites, I'm not sure.
You could try going to C:\Documents and Setting\%user%\Favorites, and deleting them there. This is the actual location on the hard drive where they're stored.
HTH.