Binos,
I think you need to invoke the Import/Export Wizard on your Internet Explorer on your PC to transfer your Favourites. It's on the File menu. Export the Bookmarks as a .htm file. Safari should be able to import these Favourites as an html file straight onto the Bookmarks menu.
Wireless: it depends on your internet connection. You've probably noticed that your new iMac doesn't have a dial-up modem, so I assume you're on broadband? Apple don't make a broadband modem, only routers which connect to a broadband connection. Macs generally work more reliably with Ethernet modems.
AppleMacster