Hello Peter,
In Vista and Windows 7, you would just drag a file, folder, or drive into the Favorites section in the Navigation Pane now to add a link of it there.
You could also create a shortcut of a file, folder, or drive and move it to your C:\Users\(user-name)\Links folder to have it added to the Favorites section in the Navigation Pane.
Hope this helps,
Shawn