Well, you can do most of them individually this way: Open up the Vista Start Menu and click on the link for your account name. You will open up a Windows Explorer window which shows all your user folders, such as Documents, Music, Pictures, Desktop, Favorites, etc. In Details view, this is handy since one column shows the Folder path for each of these.
Most of the folders will be on your boot drive (normally, C

in this path:
C:\Users\<AccountName>
where <AccountName>, of course, is your account name.
You can change where files in these folders are stored to another place on your hard drive, another drive or partition, or another computer on your network.
All you have to do is type in the new location, and click OK. You will then be presented with a message asking if you want to move all of the files from the old location to the new location, and recommending that you do so or else you will see two of the designated folder in your profile.