If you are running out of space on your primary drive, you've probably considered moving your data to a second drive, but the built-in folders such as Documents are all located inside your user directory by default. Luckily Windows Vista provides a simple way to move these folders without causing any problems.
Before you do this, you should close every single application that you have open, because otherwise you'll have issues moving the files that are in use.
Right-click on the folder you wish to move and choose Properties. On the Location tab, you can either manually type in a new folder path, or you can use the Move button to select a new location to put the folder.
The new folder will be created, and you will be asked if you want to move all your files, which is probably wise.
You can use this for any of the "special" folders in your user directory, such as Downloads, Favorites, or any of the folders that have their own icon.
Note that you can also usually just drag the folders to the new location to move them. I prefer to do it this way just to make sure everything is updated correctly, especially when moving to a separate drive.