I’ve updated the OPML XSL stylesheet that I mentioned a while back. It now creates collapsable folders, has icons for feeds vs. links, and allows you to open all links in a folder by double-clicking on the folder name. It works for me in both Internet Explorer 6 and the major Mozilla browsers.
Note: the stylesheet uses images hosted on my website, so if you are going to use it, grab grab a zip of the images. The stylesheet expects them to be in /images/.