Starting with Vista, the word "My" was removed from all of the personal folders for each user. In other words, XP's "My Documents" became Vista's "Documents." However, some programs were written to actually look for the words "My Documents" rather than a variable, which makes them scream bloody murder when installed in Vista. The workaround Microsoft implemented was to create junction points, which would allow the program to see the name it was used to and then route it to the correct path (a translator, if you will).
Windows 7 confuses things even further. Because of the addition of libraries, and the fact that it uses the name "Documents," the real "Documents" folder was given the alias "My Documents." Although it appears that Windows 7 went back to XP's naming convention, it really uses Vista's.
My guess is that you're double-clicking the junction point "My Documents," and getting the "Access denied" message. This is normal, as the junction point is not a real path--it's a way to get old programs to see the right spot when it's used to the XP way of things.
What you need to do is get to it by one of these methods:
a) The Start Menu, method 1:
Start -> your user name. Then click My Documents (this is an alias for the Documents folder).
NOTE: Start -> Documents won't get you to where you want to go. Start -> Documents is the library, not the folder.
b) From "Computer"
C:\Users\your username\My Documents (again, this is an alias--right-click the folder, go to Properties, and then click the Location tab to confirm this).