If you have a .Mac subscription, you can use the backup utility to make a backup of your favorites, and anything else you want. You can even do a back up to iDisk, as well as to a CD, and you can set it up to run on a schedule. I have my desktop backing up everything I find important to a server that is on my home network, then all my preferences also get backed up to my iDisk.
If you are just wanting to drag and drop your bookmarks to a CD to burn, when you put in the CD, tell it to use the Finder, and I believe it prompts you to name the CD. I also think you can also just rename the CD when its on the desktop.