For me, I have placed iTunes on a completely different harddrive, and set to install songs on that different harddrive, but it still links back to my "my music" folder as you say. I believe this to be a Windows issue, and not an iTunes one as I'm positive another player such as windows media player (if you installed songs on it) would also link to that folder. Windows will recreate it if you delete it. However, I believe there is a way to make another folder the official "my music folder" with whatever name you want to call it, But I myself tried and failed, it messed everything up and songs went every which way.
Someone may know the trick. I almost wonder if you can't just rename "my music" to something else. Might as well try it.