I think you have to reset the link in the shortcut to "my documents."
If the icon on your desktop is just a link you may click on it with the right mouse button. Next, you choose properties and in the first folder (called "destiny" or so in english (I'm working here with another language so I have to guess a bit)) you'll find the path to the folder that's being opened by this link.
Just change this path to the one where your documents are placed (Possibly something like "c:/DocumentsandSetings/MyName/.... ...etc.")
If you don't know where your documents are to be found, use the search function in windows, looking for *.doc or so, this will show you the path
I hope I understood you question :-|