... and here is how to do it in the registry - but AGAIN, use these instructions at your own risk - you shouldn't mess with the registry unless you feel you know what you are doing:

Start a registry editor (e.g., regedit.exe).

Navigate to the HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Toolbar registry subkey.

Double-click the LinksFolderName value.

Clear the value data, then click OK.

Start IE and delete the Links folder from the Favorites menu.