I had a client that wanted roaming Internet Explorer Favorites and I wanted to do this via a GPO.  Below is the code necessary to create a custom ADM to import into Group Policy Object Manager.  All you have to do is paste the following code into a notepad file and save it with a .adm extension. 

CLASS USER

CATEGORY “Internet Explorer Settings”
CATEGORY “Folder Redirection”
KEYNAME “Software\Microsoft\Windows\Currentversion\Explorer\User Shell Folders”
POLICY “Internet Explorer Favorites Path”
EXPLAIN “The Location That Internet Explorer Favorites Will Be Stored”

PART “Enter The Path To Where Favorites Will Be Stored” TEXT
END PART

PART “Path To IE Favorites” EDITTEXT EXPANDABLETEXT
VALUENAME “Favorites”
END PART
END POLICY

END CATEGORY
END CATEGORY <-- Please note this line has been added thanks for the reply/correction by Stucco