It's not brilliant but...
Export your favorites as a htm(l) file to C:\
Go to this site:
http://allserv.ugent.be/~bpuype/wget/
and download the wget.exe. Create a directory for it - say C:\wget - and put the exe in there.
Open a Dos box (Start... Run... Type "command" [Enter])
Change directory to the wget directory - cd c:\wget
Execute the following command, changing the input file name accordingly:
wget -i c:\bookmark.htm -F -o log.txt -t 1 -S --spider -U "Mozilla/4.0 (compatible; MSIE 6.0; Windows 98)"
I think I got the user agent string right but someone will correct me if not
Give wget time to work - go mow the dog, walk the lawn, or similar
Once it's done, open the log.txt file (it will be in the same directory as wget) and have a read. You can use the find function to look for instances of 404, but you'll have to delete the link from your favorites yourself.
I've tested this on Windows 98 SE and it works. I can't see any reason it shouldn't work on XP but you never know