Are you in private browsing mode? In that mode some menu items such as File>Import are disabled.

In addition to the above, it usually works better if you export the Favorites in IE to an HTML file and import that file in the Firefox Bookmarks Manager.

• Export the favorites in IE to an HTML file (bookmarks.html): File > Import and Export
• Import the HTML file in Firefox: Bookmarks > Organize Bookmarks > Import & Backup > Import HTML: From File

See also http://kb.mozillazine.org/Import_bookmarks ("Import from another browser" and "Import from file")

Thanks Tony. That worked. I didn't try the suggestion to use HTML files. That looks complicated for someone as computer literate as me.