If in my I.E. favourites folder there's a subfolder with 2 or more files .url, Is it possible to open them all with a click?
Not with a click. For the Favorites plugin, you'll have to use the layer plugin dependent 'Groups' function. Open all of the URLs in that favorites subfolder in new layers and use the 'Save As Group' function.
For the Bookmarks & Hotlist plugins, it's a little easier. Go to 'Edit Bookmarks' select the subfolder and in the
Nick: field, give it a nickname. You can open the subfolder by typing it's nick into the URL Bar and then pressing ENTER, or by using either of the 2 'Open Group' menu items under the 'Groups' menu.
If you really want a mouse-click option to open Groups, you'll have to go into your macros & menus files:
http://kmeleonbrowser.org/forum/read.php?f=1&i=20855&t=20853