There are a few ways of importing your bookmarks from windows to linux ill will describe below.
Solution 1 - importing bookmarks to USB drive
In windows load Firefox up then goto bookmarks > organize bookmarks (ctrl+shift+o) at the top you will see import & backup click this and then click export html… then browse to your USB stick and save. Boot in to Linux load up Firefox then goto bookmarks > organize bookmarks (ctrl+shift+o) > import & backup then click import html and follow the on-screen instructions.
Solution 2 - Importing within Linux on a dual boot system
This way is a little more tricky but easy none the less.
goto your windows files > Documents and Settings > [Username] > Application Data > Mozilla > firefox > Profiles > [randomname.default] > bookmarkbackups
Once in bookmarkbackups you will see some files here the amount depends on how many times you have bookmarked something new one for each day you have saved a bookmark, what you need to do is find your most recent file
for the sake of this thread ill use my latest file which happens to be - bookmarks-2010-03-20.json
now we copy this file and put into our Linux directory
goto Home Folder > (you may have to enable hidden files - click view Show hidden files or ctrl+h in ubuntu) > .mozilla > firefox > [randomname.default] > bookmarkbackups
Paste the file (ie. bookmarks-2010-03-20.json) open up firefox then goto bookmarks > organize bookmarks (ctrl+shift+o) > import & backup > restore > choose file and select the file you just pasted then click open, restart firefox and your done