Summary: A vault is a place where programs like Windows Defender put suspected malware rather than deleting them. Typically, it's managed right in the program.
Windows Defender found a threat (a Trojan Horse) and I sent it to the vault. This vault will have to be emptied eventually but there is nothing in the Defender to find the vault! Any idea where the vault in the defender might be?
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Yes and no.
Nope, I don't know where on disk the files are stored. But ultimately that doesn't matter, since you can use Windows Defender itself to manage the contents of the vault.
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The "vault" is what programs like Windows Defender call the location they place the files that they identify as being malicious or suspicious. Rather than deleting them outright, they move them to this safe, quarantined location so that should you need to recover them you can.
There is no single vault or vault-like location. Each program sets up and uses its own strategy for managing its own vault.

In the case of Windows Defender, you can use it to manage the vault yourself. Click on the Tools menu, then scroll down in the display window until you see the Quarantined Items option:

Click on that and you should get access to the "vault":

As you can see, I have nothing in my vault, so there's nothing for me to do. But you can also see the grayed out buttons at the bottom:
Remove All to empty the vault entirely.
Remove to remove only a selected item from the vault
Restore to remove a selected item from the vault, and replace it as an active component in your system.
As a side note, while researching this article I discovered that I had failed to follow my own advice: I did not have any anti-spyware software running since I began using my new machine. Naturally, I installed Windows Defender, and fortunately it came up clean right away.
Don't do what I did
.
Make sure that you have some kind of anti-spyware solution in place,
that it's running regularly, and that its database is being updated
regularly:

Related:
Windows Defender Windows Defender is a free, easy to use anti-spyware package that does a good job of protecting you, and includes several advanced tools as well.
Spyware: How do I remove and avoid spyware? There are some important steps to take to deal with the ever-present concern of how to remove and avoid spyware.
So just how sneaky can spyware be? Much of what we call spyware, like adware, can be relatively benign. But there's definitely the more intrusive, damaging kind of spyware as well.
Article C3487 - August 31, 2008
I subscribed to Windows Live OneCare.I found I had to uninstall it to download Defender and then reinstall it.Later was told Defender included with WLO.I found both are excellent programs.I wondered 'bout the vault deal..Leo you are amazing!!
Posted by: Bob Pease Jr at September 2, 2008 5:44 PMI run Defender every week, and it has NEVER "caught" anything - I often wonder if it even works, when Spybot and AdAware seem to trap things?
Posted by: Carl R. Goodwin at September 3, 2008 7:47 PMThis is a good question.
Posted by: Kenneth Crook at September 6, 2008 8:07 PMI also have Windows Defender running real time, and run a full scan once a week. As far as I know Windows Defender has never blocked anything and on scanning it has never found anything. Is Windows Defender really working?
Is there any way to verify/test Windows Defender to see if it is really doing anything?
Leo, do you trust Windows Defender (I mean, obviously you do, you run it, but still..)
I have a hard time trusting Microsoft to detect the crud it let through in the first place.
-Leo
i did the same thing and my pc crashed
Posted by: dave at October 27, 2009 3:53 AM