XDA Developers wrote a small application that can actually import your existing Pocket Internet Explorer Favorites into Opera Mobile on your Windows Mobile Professional device.

ImportIEFav needs to be installed to Device; launching the application will bring up a warning message that ANY existing favorite in your current Opera Mobile configuration WILL be deleted and the items in the Favorites list replaced with those imported from PocketIE, so be careful!

Note: Current version does not create shortcuts but you can find the executable in your Program FilesImportIEFav folder. Hope this will get fixed in future releases.