Here is the step-by-step method that I used. I obtained this information from another PPCGeeks thread (don't recall which one):
1. Download the free Bookmark Converter from http://www.magnusbrading.com/bmc (bmc32b2.zip) and install it on your PC.
2. Connect your TP to the PC via ActiveSync
3. Copy your desired PIE Favorites (Bookmarks) – I right mouse clicked and selected copy on Mobile Favorites – then I pasted to a local directory of my PC.
4. Start the Bookmark Converter on your PC and select as Bookmark Source "Internet Explorer favorites", then select the directory on your PC to which you copied your PIE Favorites.
5. Select Bookmark target "Opera Bookmarks"
6. Click on "Browse", select your output path and chose "Opera 6/7" as file format.
7. Now click on "Convert" and all your PIE Favorites (Bookmarks) will be converted to a file named Opera6.adr
8. Do not change the name of this file. You are not yet finished but almost.
9. Now copy the file "Opera6.adr" to your TP into the directory where Opera expects its Favorites (Bookmarks); usually \Windows\Opera9\
10. That’s it!