If you have the shortcut to Windows Explorer on your desktop, (or wherever you have it), right click it and select Properties.
Under the Shortcut tab, in the Target section, type in "%SystemRoot%\explorer.exe /n,/e,/select,c:\FolderName", where FolderName is the name of the folder you want Explorer to open at. In the Start in section type "%HOMEDRIVE%%HOMEPATH%", (all without the quotes).
I believe there are other methods but that works for me.
I have Windows XP Pro, SP2.
When I open Explorer now it opens in My Documents. Is there a way to cause it to open in a different folder.