Meryl Evans writes about this great utility called TweakUI (freeware)
I never use Microsoft Window’s default settings of My Documents, My Pictures, or My Music. I change it up on my own or use TweakUI, a Windows PowerToy. For home users, there is no compelling reason to change the defaults. I do it because I have my way of doing things and organizing. For business users or networked environments, it’s a good idea to redirect folders because of the backup system and use of network…
http://channels.lockergnome.com/windows/archives/20040906_folder_redirection.phtml