To set a picture as a favorite when viewing it in Gallery, tap the screen, tap "More", select "Set as" and then "Favorite." This will add the photo to a folder called "My favorites" which you can view in the gallery, Quikpic, or any other photo viewing app.
This is a feature I always wanted on my phones and one of many little surprises that make me happy I upgraded to the Rezound. Having a Favorites folder makes it easy to share/export select photos, and also when I use my dock I use the My Favorites folder for the slideshow feature.
Apparently, there is not really a file folder called "My Favorites" that a file manager can see. It's more like a category that behaves as a folde in Gallery. You can use Share to multi-select or select all and then share with email, picassa, fikr, drolbox, etc. If you want to move favorites directly to a PC, you can download an app called Photo Transfer and share to that app.