First bring up the hidden files & folders, either in control panel/folder options/view/show hidden files, or in the tools button (tool bar). Then open the documents & settings folder (My computer/C:/), find the Send To folder, open it & add a new folder & rename it. This works on 2000, & should be the same for XP.
Another trick you can do is to go to the My Docs folder, highlight (single-clik) the folder or file you want to move, then click on the edit button in the toolbar, go down to either copy to folder or move to folder from the drop down list & it will bring up a window for you to pick what folder you want to copy/move to.