You can use an editor that has a macro feature for that. I recommend notepad++, which is free (
https://notepad-plus-plus.org/).
Go to your roms folder. Make a new folder named 'favs' (without the ').
Open up notepad++. Open the .txt file that contains the rom names.
Go to the top of your file. Click at the first position to make sure that the cursor is positioned before the first letter of the first romname.
Go to the 'macro' menu, select 'start recording'.
Type 'copy ' (without the '), hit the 'end' key to go to the end of the line.
Type '.zip favs\' (without the '), then hit the 'home' key to go to the beginning of the line. You should now have something like 'copy firstromname.zip favs\'
Hit 'arrow down' to go to the beginning of the next line.
Go to the 'macro' menu, select 'stop recording'.
In the 'macro' menu, select 'run a macro multiple times', then 'run until the end of file'.
Use 'save as' to save the file as 'roms.bat' to your roms folder.
Start roms.bat, it will copy the roms into the favs folder.