You can add any folder to a library or create a new library, but this does not move any files. The library only gathers links. In other words, if a program you installed wanted to create a folder in 'Documents' the folder would still be on the C: drive as you have not moved the original Document folder.
The first link I gave you will show you how to actually move that documents/music/pictures folder to the E: drive. If you make the E: drive your documents folder using this method, then when something of that nature happens, the folder will be created on the E: drive.
Maybe you already know all that, but I just want to be sure.