Windows Shortcuts provide a decent solution for accessing frequently used folders. But getting to those shortcuts--even if they're on your desktop--may require several clicks. On the other hand, Direct Folders (free for home use) leverages your middle mouse button (generally the wheel these days) to bring up a handy menu full of recently visited (or designated favorite) folders so that you may reach any of them with a single click.
You may also access the menu via an icon Direct Folders places in the system tray. Personally, I'd prefer a simple addition to the right-click context menu--but if you're a middle-button person it works quite well.
What I truly love about Direct Folders is that it allows me to change the default appearance of the standard Windows XP File Open and Save dialogs. I've always hated it that these dialogs didn't remember my tweaks, but now I can adjust their size, appearance, and even arrange the file order using Direct Folder's settings tab. Very, very cool. The program also adds a Places bar to the left of the dialogs if you wish. If you do use this feature, make sure you define all the places as otherwise they show up as the System32 folder for some odd reason.
Direct Folders also has a Pro version that provides a more complete info panel and the ability to create subfolders in the menu, as well as allowing you to support the author's hard work. This little gem is worth its short download time, for the dialog customization if nothing else.