<p>This turned out to be straightforward enough. The ‘Favorites’ are in <code>%userprofile%\Links</code> (and not in <code>%userprofile%Favorites</code> as you might think).</p>
<p>Knowing that, shortcuts <a href="http://technet.microsoft.com/en-us/library/cc753580.aspx">can then be defined under <code>Preferences\Window Settings\Shortcuts</code></a>:</p>