I prefer that the My Documents link on Windows desktop opens my home directory (%USERPROFILE% or C:\Documents and Settings\Logon Id), since I have very little use for the actual documents folder, and instead make heavy use of other folders inside %USERPROFILE%, especially Application Data.
Stripping \My Documents (or \Omat tiedostot in the Finnish version) from HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders\Personal, then logging out and back in does the trick.