In Windows XP, we can change the location of My documents folder location by editing the value in the Target field in My documents properties. If this target box is greyed out, then it means that the administrator of the machine/domain has enforced a group policy removing user level control of my documents location. In such a case users can’t move/redirect my documents to another location unless administrator revokes the group policy.
You can check what group policies are enforced on your computer by running rsop.msc from Run window. This console shows the list of all local and domain group policies that are in effect. To check folder redirection related policies, navigate to the node ‘User Configuratation -> Windows Settings -> Folder redirection‘.