As Dave said. Here is some more info:
By default, Windows Explorer always opens with My Documents. Customize it by
changing the properties for the Windows Explorer icon and replace the Target
field with: %SystemRoot%\explorer.exe /e, c:\yourfolder
1. Right click on the icon you use to launch Explorer and select Properties.
2. In the Target box, type:
%SystemRoot%\Explorer.exe /e, path
Where in place of path above you should enter the actual path to the
directory you want open by default. For example C:\Windows, or C:\Documents
and Settings, etc. To have My Computer listed as the default selection, type
explorer.exe /e,
Explorer.exe Command-Line Options for Windows XP
http://support.microsoft.com/default.aspx?scid=314853
Customize the Windows Explorer Views in Windows XP
http://support.microsoft.com/default.aspx?scid=307856
Have Windows Explorer Default to the %SystemRoot% Drive When Started:
http://support.microsoft.com/default.aspx?scid=257518