Very simple question

It takes a bit of coding, but it can be done. Basically, you write a little module that contains a menu callback at a path like /favorites/add (or whatever you want). The callback should load the (user profile) node, add the nodereference to it, and save the node again.

I've done something similar, though I was saving something to a user profile. Here's a snippet, adapted from my code, that might help you.

<?php

function YOURMODULE_menu() {
  $items = array();

  $items['favorites/add/%'] = array(
    'access arguments' => array('access content'),
    'page callback'    => 'YOURMODULE_favorites_add',
    'page arguments'   => array(2),
    'type'             => MENU_CALLBACK,
  );

  return $items;
}

function YOURMODULE_favorites_add($arg) {
  global $user;

  if (is_numeric($arg)) {
    if ($show_node = node_load($arg) && $show_node->type == 'show' && node_access('view',$show_node)) {
      $user_node = // load your user profile node
      $user_node->field_favorites[] = array('#value' => $show_node->nid); // or something like this
      node_save($user_node);

      print '<div class="favorites-confirm-save">'. t('@show_title has been added to your favorites.',array('@show_title' => $show_node->title) .'</div>'; 
      exit(); // Use exit if you want to return this via AJAX; otherwise, delete this line and replace print with return in the line above.
    };
  }

  // If we didn't exit above, return a 404 error (or other custom error message, if you prefer).
  drupal_not_found();

}

?>

Finally, I'd suggest doing this by AJAX using jQuery like the following:

$('a.favorites-add').click(function() { $(this).parent().load('favorites/add/CURRENT-NODE-ID div.favorites-confirm-save'); });

That will load the div from the callback into the parent element of any link with class favorites-add when the link is clicked. You might want to do $.ajax() instead of $(this).load() to include error handling.