Jim -
As you are aware, your web pages aren't allowed to simply
write to the user's machine, unless it's a cookie, or you download
a file. So, if you are willing to save those favorites in a cookie,
yes, it can be done. Cookies, however, are subject to being deleted
by the user intentionally, or being deleted automatically to make
room for other cookies, or being deleted after three years just
because...
Here is an old demo for writing user information to a cookie;
it's javascript, so it can be adjusted, if you want (and can) to
add the current URL, to read that list of URLs, and to display them
in a drop-down menu:
http://www.copperfieldpub.com/content/cookies_winhelp_annotations.htm
Click the "Open Contents, Search and Index" button at the
bottom to see the entire frameset, and to see the " Take a C-Note"
link at the top, to try it out. You may have to navigate back to
that page again; it's a maintenance issue... I haven't updated it
in quite a while.