i'm a bit baffled - all mine have a location tab
let's try a different approach.
(don't worry about capitalisation) into your start-menu searchbox.
this will bring up the same explorer window as if you clicked on user name in start-menu.
i've already changed my 'my documents' to a root of my 'sammy' partition, so mine doesn't say 'my documents' any more.
anyway, if i right-click it (or any of the other icons in the right-pane), then click on properties right at the bottom, i have a location tab (forget all the other tabs - it's because it's the root of a partition) - then i can move the location away from f: to anywhere else.