1) Create a new Package with a variable folder called userprofile
2) Create a subfolder called Favorites below this new folder
3) Copy the IE shortcut into this folder
4) Open the Properties of the Package
5) Click the Requirements tab and choose Unattended\All Users for the Installation Method
6) Click the Variables tab and then the Add button
7) Use "userprofile" (without the quotes) as the Name
8) Go to the Requirements tab and check the "Value is Complete Path" and "Path Must Exist"
9) Uncheck "Value should be the same for all users of the same computer"
10) Click OK and OK
11) Apply the Package

This will install the IE Favorite to the current user in their specific user profile. Then as each user logs in, the Package will apply their specific user portion and add the shortcut to their own user profile. This package can be used, on any machine and any user, to add this shortcut automatically to each users Internet Explorer (as long as they have the %userprofile% environment variable defined - Windows NT and 2000 machines).