HotSites are bookmarks with a specific flag and have one purpose: All HotSites are listed in the special folder "HotSites", independent from the location they are really saved. This gives you the possibility to display your favorite bookmarks within one single folder.
How to set the HotSite flag?
There are 3 ways to make a bookmark a HotSite:
Enable the check box "HotSite" in the bookmark properties
Select a bookmark and double click the Hotsite column