Where is the Windows Vista folder for storing favorite sites located?
As mentioned, website information such as Favorites is saved by the web browser you are using. Each browser has a different location, so the browser name you are using would be more helpful along with operating system version (which you have given). Bruce and Hovsep gave the information you need, just look for the browser you use.
Just to explain, it isnt Vista that is saving the sites, its your browser.
For Internet Explorer, you can find them in C:UsersusernameFavorites.
Firefox stores them in C\:Users\username\AppData\Roaming\Mozilla\Firefox\Profiles\profile\dirplaces.sqlite. profiledir is taken from C\:Users\username\AppData\Roaming\Mozilla\Firefox\profiles.ini
Hovsep has given the location for Chrome bookmarks.
You may also have to enable viewing of hidden files and folders