This is something that i've came across alot of times and I think it's about time I wrote a blog post on this. It's a verry easy fix but just a tip. Use a policy if you have the ability. This is for Windows XP

In regedit change the following key.
HKEY_LOCAL_MACHINE / Software / Microsoft / Windows / Current Version / Explorer / DocFolderPaths
There is a key with the path to the folder. Change that and reboot.

That should do the trick!