What location do you have the Documents folder opened at?
If you have it opened in the "Documents Library", then this is normal since all included folders in a library share the same folder view.
If you have it opened at the C:\Users\(user-name)\My Documents
or Start Menu
Personal Folder" location, then each folder should open with it's own folder view settings instead. If not, then try resetting the folder views
back to default to see if it will afterwards.
Hope this helps,