found this on MS site
SYMPTOMS
If you attempt to move, delete, or rename the Links folder on the Favorites menu in Internet Explorer, it is automatically re-created the next time you start your computer.
CAUSE
This behavior occurs because the Links folder is a special Internet Explorer folder that cannot be moved, deleted, or renamed.
RESOLUTION
Although the Links folder cannot be deleted, the properties of the Links folder can be set to Hidden so that the folder is no longer displayed when you open the Favorites.
To set the properties of the Links folder to Hidden:
Click Favorites on the toolbar.
Right-click the Links folder, and then click Properties.
Click to select the Hidden check box.
Click OK.
You can press F5 to refresh the file listing and the Links folder will no longer be displayed, although it will still be in the system and function normally.