If you are referring to setting some Word files/folders as favorites in Word
2003, it appears that the powers-that-be in Redmond have decided we don't
need that any more. We are supposed to enjoy the My Places thingie. My
Places (actually, they aren't mine: they would be yours, but we are stuck
with Microsoft lingo) is actually fine for a few bookmarks, particularly if
they don't change too much. But no more Word favorites. I am sure somebody
out in Redmond could explain why we don't need something we have relied on
for a long time, if you could actually ask somebody. Maybe that's why the
Crabby Office lady is so crabby these days.
I have worked around this by creating a "Place" for Word bookmarks. Then
using Windows Explorer I find the files/folders I want to bookmark and mark
them thusly in Win Explorer. It's pretty klutzy, but until somebody shows
me a better way, it is the only way I can think of to still use Word
bookmarks..