Help > Contents and Index > Search tab > [type] "favorites" > click on "Explorer" > click on the "Use the My Favorites folder" link.
Favorites are saved in the following file: C:\Documents and Settings\<username>\Application Data\Sony\Vegas Movie Studio (Platinum)\8.0\ExplorerFavorites.txt (or C:\Users\<username>\Application Data\Sony\Vegas Movie Studio (Platinum)\8.0\ExplorerFavorites.txt on Windows Vista). The file is saved whenever you close the Explorer window or exit the application. You can copy the file to different computers or user accounts to migrate Favorites settings.
For me, this is the path to the "ExplorerFavorites" text file: C:\Documents and Settings\Owner\Application Data\Sony\Vegas Movie Studio Platinum\8.0