Because I spent dozens of minutes trying to get back the disappeared “Favorite links” folder of Vista, I’m sharing it the only solution which works.
Instead of simple right-click menu or complicated registry operations like said here, a simple search will create the folder you need (weird). I copy here the solution I found :
To restore back the Links folder which will be recognized and detected as shell folder for Favorite Links in navigation pane, and thus allowing users to manage the shortcuts or URLs in the “Favorite Links” pane again, type shell:links in Start Search box in Start Menu, or in the Run command. “shell:links” will re-create the valid folder again in appropriate user location again.
I found this solution of MyDigitalLife.info, I hope it’ll quicken the search for the next persons.
Be careful though : the folder you just created is not as good as the one you lost. Indeed, if you drag a folder in this new one, it won’t create a shortcut automatically but will try to transfer the whole folder : you must create a shortcut yourself.