The Favorite Links is a new feature of the explorer window in Windows Vista. These links appear in a left side bar. By default it contains the following Favorite Links: Documents, Pictures, Music, Recently Changed, and Searches.

It’s very easy to add a link to a folder that you use often

One way is to drag and drop shortcuts directly into this area.

Another way is to navigate to the corresponding folder and add a link there. The Favorite Links Sidebar in Explorer is actually a folder in your computer. You can navigate to this folder by right clicking in an unused area in the Favorite Links sidebar and selecting Open Folder from the menu. It will typically be found here:

C:\Users\username\Links
(where username is your actual username)