Answers: Firefox 3 (newest one...download it from Mozilla if you don't have that one) will allow this. Click "File" >> "Import" and simply follow the wizard.
I don't think you are able to use IE book marks in Firefox. However, if you switch to AVANT Browser, it uses the IE foundation and is the best browser on the net and has been for several years now. Yes Firefox is a good fast browser but some things still do not work with it.
I use AVANT as primary and Firefox as a back up browser.
Check it out before you discard Avant. Once you start using it, you will never open IE again, if your smart.
UPDATE:
It seems you are able to transfer IE book marks afterall should you wish to do so. As the other said, import/export will do the trick. I still highly recommend AVANT as your primary browser.
When you first install Firefox, I believe It asks you if you want too import all bookmarks.
I think you have the option to do so right when you install firefox...
In IE :
click File
Import an Export
then follow up the wizard screens and select Export Favorite....and continue ,....
or use Pete way is better