Interesting problem - the Favorites menu in Internet Explorer is displaying the arrows for the shortcuts and not the folders (back-to-front). However, the Favorites menu in Windows Explorer is displayed correctly.
WB 4.x (latest) on WinXP Pro SP2 with current Windows Updates
EDIT: Just confirmed this is also a problem in the WB5 beta. Happens with all skins (however, all skins have been 'debugged' with SkinStudio so it may be a fault in the way SkinStudio saves the skins).