From Microsoft Support:
1. Click Start, and then point to My Documents.
2. Right-click My Documents, and then click Properties.
3. Click the Target tab.
4. In the Target box, do one of the following:• Type the path to the folder location that you want, and then click OK. For example, D:\My Stuff.
If the folder does not exist, the Create Message dialog box is displayed. Click Yes to create the folder, and then click OK.
• Click Move, click the folder in which to store your documents, and then click OK twice.
If you need to create a new folder, click Make New Folder. Type a name for the folder, and then click OK twice.
5. In the Move Documents box, click Yes to move your documents to the new location, or click No to leave your documents in the original location.