What do you define as "vector file"? A vector image? What program do you use? Photoshop, Paint Shop, Corel Draw?
You'll need Adobe Illustrator to create Vector (.AI files). It's basically a CAD program, that enables you to create line-drawings by tracing over images, then removing the original images, leaving you with your line-drawing; which can be infinitely enlarged without losing quality what-so-ever.
You might be able to do it in PS...if you're tracing an image, open it up and start a new layer; if you're doing something from the top of your head, then just start it like a normal image. I think you'll be able to export it to AI when you're done, but I'll have to take a look at that when I get back to my comp.
