After redirecting the Favorites folder on Vista to a different location I could not save a link in my favorites. It turns out you have to run the following command:

icacls "path_to_new_favorites_folder" /setintegritylevel (OI)(CI)low

This has something to do with IE in protected mode and the integrity levels that were introduced in Vista.

I also found out that I could not print a web page. To solve that I had to create a directory called low under my temp folder and also set the integritylevel with the icacls command.