Windows keeps a number of special folders such as My Documents, Desktop, Favorites and the Start Menu. These folders can be moved anywhere on you system and the new location updated in the registry.
Note the current location of the folder you want to move, and then using explorer move the folder to the new location.
Run regedit and navigate to registry key HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders and see if it matches your location of Favorites, if not change it.
Back up the registry first. Log off or restart Windows for the changes to take effect.