uses
  ShlObj, ActiveX;

function GetIEFavourites(const favpath: string): TStrings;
var
  searchrec: TSearchRec;
  str: TStrings;
  path, dir, FileName: string;
  Buffer: array[0..2047] of Char;
  found: Integer;
begin
  str := TStringList.Create;
  // Get all file names in the favourites path
  path  := FavPath + '\*.url';
  dir   := ExtractFilepath(path);
  found := FindFirst(path, faAnyFile, searchrec);
  while found = 0 do
  begin
    // Get now URLs from files in variable files
    Setstring(FileName, Buffer, GetPrivateProfilestring('InternetShortcut',
      PChar('URL'), nil, Buffer, SizeOf(Buffer), PChar(dir + searchrec.Name)));
    str.Add(FileName);
    found := FindNext(searchrec);
  end;
  // find Subfolders
  found := FindFirst(dir + '\*.*', faAnyFile, searchrec);
  while found = 0 do
  begin
    if ((searchrec.Attr and faDirectory) > 0) and (searchrec.Name[1] <> '.') then
      str.Addstrings(GetIEFavourites(dir + '\' + searchrec.Name));
    found := FindNext(searchrec);
  end;
  FindClose(searchrec);
  Result := str;
end;

procedure FreePidl(pidl: PItemIDList);
var
  allocator: IMalloc;
begin
  if Succeeded(SHGetMalloc(allocator)) then
  begin
    allocator.Free(pidl);
    {$IFDEF VER100}
    allocator.Release;
    {$ENDIF}
  end;
end;


procedure TForm1.Button1Click(Sender: TObject);
var
  pidl: PItemIDList;
  FavPath: array[0..MAX_PATH] of Char;
begin
  if Succeeded(ShGetSpecialFolderLocation(Handle, CSIDL_FAVORITES, pidl)) then
  begin
    if ShGetPathfromIDList(pidl, FavPath) then
      ListBox1.Items := GetIEFavourites(StrPas(FavPath));
    // The calling application is responsible for freeing the PItemIDList-pointer
    // with the Shell's IMalloc interface
    FreePIDL(pidl);
  end;
end;
