simplest way would be to make a folder and create shortcuts of the files you need in there, although that depends on the number of files concerned.
Of course vista does the same thing with it's "special" folders like the start menu using junctions but not sure if they are user creatable.
seem to remember something i read somewhere that said you could , bear with me will see if I can locate anything.
Edit
General explanation
Here
Possible solution
Here
I would take time to research the option and backup anything you can before you start not sure if it does everything you want but should be possible as the facility exists in the OS already, good luck