To save a view as a favourite, you can either use the views window or the shortcut menu. You can have three favourite views for the object list. If you already have that, you must remove at least one view as a favourite in order to save a new view as a favourite.
For more information on how to:
use the views window to save a view as a favourite, see section 2.5.1.
use the shortcut menu to save a view as a favourite, see section 2.5.2.