Moved to Internet Explorer forum.
The correct way to move Favourites is probably the one you used ....
In IE > Import & Export and export to a pen drive if moving to another computer.
On the other computer in IE File > Import & Export
In My Documents the Favourite is an Internet shortcut - typical size 160 bytes, but
size on disk is 4096 bytes, one full cluster, the minimum space Explorer can use.
In IE Favourites are stored internally in IE as an HTM file.
E.g. on my PC Favourites in My Documents are ~3.3 MB, bookmark.htm is 190 KB
Bottom line - you do not have a problem