Binabik: Why your icon is named "vddf" - I have no idea. Try to just rename it back to "firefox", that should work ;)

I never had a problem with disappearing bookmarks, but I heard about it just this week. There is an update for both, firefox 1.5 and firefox 2.0 which should fix it.

Firefox keeps a profile for every user on your system. (It's in "%APPDATA%\Mozilla\Mozilla Firefox\Profiles").