First, tell me what you get when you enter this in Start > Run :
%USERPROFILE%\My Documents
If it cant find it then :
1.Create a new folder anywhere for using it as my documents
2.Go to this registry key :
HKEY_CURRENT_USER \ Software \ Microsoft \ Windows \ CurrentVersion \ Explorer \ User
Shell Folders
3.On right side, double click the "Personal" and enter the exact location of the
folder you created in the first step.