Use TweakUI powertoy for Windows XP (My Computer -> Special Folders).
Apparently this only changes the setting in the registry and does not move
the files, so you'll have to move them yourself from the old to new
location.
Windows XP stores the location of per-user special folders (including favorites path) here:
[HKCU\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders]
You can change the path there. Or, use TweakUI and change the location of Special folders.
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