The 'Favorites' feature introduced With SQLyog 5.1 (replacing the old 'Personal Folder' feature) saves a user's favorites in that users 'application data' folder on NT-based systems (NT-2K-XP-2003).
Did you log on the system with another user account?
You may copy the 'Favorites' that you want to share with other users to their respective 'application data' folder.
Also, the first time program is started after the install the old 'Personal Folder' is moved to a 'Personal' Folder in the 'Favorites' folder tree. It can be found in the 'application data' folder of the user who started the program for the first time after the install of version 5.1.