The My Documents folder was first introduced in Windows 95 OEM Service Release 2, as a standard location for storing user-created files. The folder located under the root of the hard drive that Windows is installed on, is displayed (but not stored) directly on the user's desktop.
My Documents as it appears in Windows XP.
In Windows 2000, Windows XP and Windows Server 2003, the My Documents folder is located in the user's profile directory, as Documents and Settings\[user name]\My Documents on the same hard drive that Windows is installed on. It is important to note that "My Documents" in these operating systems is one of a number of Special Folders, which is a concept introduced in Windows 2000 to add a layer of abstraction between the user interface's presentation of the folder, and its physical location and contents. As such, "My Documents" in file load/save dialogs (and in Windows Explorer) doesn't appear as an absolute path. A user can change the physical location of My Documents by right-clicking on the My Documents icon, choosing properties, and choosing a new path in the Target tab.
If you right-click on My documents then choose properties, then Target but don't put in a new destination, you should be able to see where it is relocated to. I'll have to check but it makes sense. Like everything else with the puzzle, we will have to see.