I wonder if one can somehow communicate this problem to Microsoft.
I've seen numerous threads regarding these "special" folders. Yet the only thing "special" about them is that they are hard-coded into certain programs as a default file location. If one wants to store files some place else, and let the programs be aware of the new location, one has to deal with each program individually. Most programs (for example, Word, Excel, and other Office programs) have the default location specified in the options (or preferences) dialogs. Some (most notable Adobe Acrobat) don't even have such option and stubbornly want to look into "My Documents".
At the same time Windows also uses environmental variables. Look for example at the default properties of the command prompt shortcut: it's supposed to start in %HOMEDRIVE%%HOMEPATH%.
Why can't one use these variables globally and enforce that all programs use them instead of C:\My Documents? Then customization of the folder structure would amount to simply changing the variable %HOMEPATH% instead of painstakingly changing options in all programs one uses?
It's not that it's hard to change. I personally have never placed a single file in "My Documents" or "My Pictures". All programs that I use look for files where they're actually located. But sometimes I forget about the fact that I had to change that manually, install a new program, try to save a file and voila, it wants to go to "My Documents". That's a bit annoying.
Finally, to answer the actual question posed by the OP, I think the tutorials referred to by Golden should solve the problem. On the other hand my way of avoiding such problems in the first place is to simply create a folder "D:\my_preferred_folder_name" and put my files there. (D: here is just an example of any drive other than the system drive, I usually put the my personal or user files and the OS on different drives, preferably different physical drives , but if only one drive is available, e.g. on a laptop, then at least different partitions). This way the files cannot be lost by whatever mishandling of Windows or the OS crash or anything else apart from actually erasing these folders (or drive failure, but to remedy this one makes backups).