yeahbut, the links are more flexible than tsuwmwn was tsuggesting. You can drag and drop from all over the place ~ YCLIU here: http://www.microsoft.com/windows/customizelinks.htm

edit: and just to follow up on dubdub's comment, they are indeed very much like a subset of Favorites... um, because that's what Links are! You can open up your Favorites dialogue at the left margin of the screen, and place any URL you wish into the folder labelled Links, by dragging and dropping from your desttop or from other folders within Favorites...