This is a somewhat common issue that occurs most often when someone attempts a "clean install" of SolidWorks during an upgrade by deleting the SolidWorks key from the registry which inadvertently breaks EPDM, but it can happen for a myriad of reasons. Two things can cause this issue, the registry keys are there but you can't see where the vault view is located, or the vault view is there but the registry keys are missing. If the registry keys for the vault are there then the only fix is editing the registry as suggested, if they aren't there and you just have a view attached it's a bit more complicated and you should contact your VAR for assistance removing it.
The cause was this:
I received a Windows 7 PC. I copied my entire Documents folder from my old XP machine, including the Vault folder.
That somehow hosed the View Setup process.
The fix was to simply delete the Registry key that referred to my Vault folder:
[HKEY_CURRENT_USERS\Software\Solidworks\Applications\PDMWorks Enterprise\Vaults\[vault name]
Then I ran View Setup and it installed my Vault folder as expected.