Use Group Policy or TweakUI to Redirect folders.
To redirect special folders to a specific path
http://www.microsoft.com/resources/.../all/proddocs/en-us/gpx_redirectspecific.mspx
TweakUI
[+] My Computer
Special Folders
[[Special Folders
This allows changing the location of special folders such as “CD Burning”,
“Desktop”, “My Documents”, “My Music” etc. This does not move the files from
the current location to the new location. To change the location and
simultaneously move the files to the new location, right-drag the folder to
its desired new location and select “Move here” rather than using this
dialog.]]
Special Folders
[[Windows XP users have special folders in their user profiles, such as the
My Documents, My Pictures, and Favorites folders. The default location for
these folders is in %USERPROFILE%, but you can redirect them to any
location, including a location on the network. That's the purpose of the
Tweak UI category Special Folders.]]
Download TweakUI here >>>
Microsoft PowerToys for Windows XP
http://www.microsoft.com/windowsxp/pro/downloads/powertoys.asp
Tweak UI
TweakUI.exe
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Tweak UI for Windows XP Guide
http://www.winxpsolution.com/Tweakuixppro.aspx