Cannot redirect Application Data Folder?

Hi people.

I have some small issues, I'm testing at home the roaming + redirect
folders settings. I have windows xp sp2, none AD.

I have read a lot of docs about roaming + redirect folders, but
there some special folders that won't let me redirect them example:

C:\Documents and Settings\X\Application Data
C:\Documents and Settings\X\Local Settings

The folders My Documents, My Pictures, My Videos, My Music and
Favorites I redirect them using "Tweak UI", this folders are easy.

Now the others are not, some sites say that using gpedit.msc there
is a shortcut call "Folder Redirection", but in my machine doesn't
exist, others docs say that the lowest thing to do is changing the
register.

The user Im testing is a normal users(No Admin), with this user I
change the settings (Shell Folders), but all the time I restart the
computer, the settings for Application Data + Local Settings change to
there original location. Even with a admin user happend the same
thing.

There some settings inside windows that prevent this change?

Thank all for your time!!!