VAMP_PATH is an environment variable, not a file. An environment variable is a setting within Windows that can be changed, or added, fairly readily by the user. In this case, VAMP_PATH is something you can add that will be referred to by Vamp hosts (and will make no difference to any other aspect of your system).
To set it, go (in the normal Vista Start menu) to Computer -> Properties -> Advanced -> Environment Variables, then under User Variables add a new entry named VAMP_PATH with the (semi-colon separated) list of folders you want to set.
If you happen to be running command-line programs from a command prompt, then you can set this variable by typing e.g.
set VAMP_PATH=c:\path\to\folder;c:\path\to\other\folder
at the command prompt.
Note that this path completely overrides the default path used by hosts. So if you want hosts to continue looking in C:\Program Files\Vamp Plugins as well as any other location you specify, you will need to make sure that folder is in your VAMP_PATH as well.
For example, to add "C:\Users\me\My Plugins" to the path as well as the default location, set VAMP_PATH to
C:\Users\me\My Plugins;C:\Program Files\Vamp Plugins
Chris