How to Change My Documents Location
If you install Windows XP you will get My Documents folder to store everything that related with your computer. By default, the folder is located at C:\Documents and Settings\X\My Documents, where "X" is the name of the user. The location can be changed by yourself
Why I should Change My Documents Location
The main reason to change My Documents location is to keep your personal data and system partition doesn't lose from reformatted partition. For example if you want to make fresh windows installation.