Windows 7 (and Vista I guess) changed the directory structure of Windows XP. In Windows 7, "My Documents" is merely a link (called junction actually) to the "Documents" folder. Similarly, "Documents/My Music" is a junction to the "Music" folder (under c:\Users\me\). The same goes for Pictures and Videos.
I think Windows 7 does the junction thing for compatibility reasons. It was also good for me, because when I restored my XP "My Documents" folders, my files got automatically placed in the correct Windows 7 folders. Well, except that 7-zip also mucked with the attributes of the junctions, making them visible. The attrib command merely restores the attributes back to what they were (the switch /L is important, otherwise the command hits the folder the junction links to.)