Gads, am I the only one that trys to use them? It's located in the Vegas "explorer" view. You can assign a path as a favorite. However, I've never figured out how to save them in the project. They seem to only hold for the session. No wonder no one uses them :-(
That has nothing to do with Vegas, per se. It's exactly what it says it is--"Explorer," as in Windows. Your looking at your computer and the drives and folders they contain.