Vista is very good at protecting users from their own idiocy... so much so that it can be a chore for Power Users who mess with their settings all the time. For example, some people like to move the location of Internet Explorer's Favorites, but IE 7's Protected Mode will prevent you from being able to write to this new location. Whenever you try to save a web page to your Favorites, then Vista will generate an error message.
Again, we have to pull out our bag of Administrator's tricks to tell Vista that we know what we are doing. Here's the procedure on how to fix this: