While I don't have alot of experience with IE5.2 on the Mac, I did find this on the internet. See if it helps you:
"To edit your favorites, select Window and click Favorites from that menu. Select the icon next to the page you want to delete, and then press the Delete button."
Is this what you have already tried? If not, does it work? You might also want to try pressing Apple-Shift-F from the Finder which is the keystroke that supposedly brings up the favorites folder. You may be able to drag the unwanted favorites out of the folder and into the trash can.
Keep us up to date.
--Oober