Do you use Firefox? If so, it's incredibly easy. Go to Bookmarks / Organize Bookmarks... and then press the "Import and backup" drop-down button. There's an option there to export as HTML.

This will give you a standalone HTML file with hyperlinks for all the links you have in your bookmarks library, organized by the original folder structure. You just put this file on your USB drive.

I'll have to look into the process if you use IE...