1. HKCU\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders is the key where Windows XP stores the location of per-user special folders. Each value in this key is a special folder as shown in Table 1 (which you'll either have to search for or simply find "shell folders" in this document). These are REG_EXPAND_SZ values, so you can use environment variables in them. Use %USERPROFILE% in a path to direct the folder somewhere inside users' profile folders or %USERNAME% in a path to include users' names.
2. After opening the registry, click the Plus box in front of HKCU to expand it and continue clicking/expanding appropriate folders (each word preceded by a backslash in the above address) until reaching the last, "Shell Folders".
Note: I believe I'm correct for the following, but read through the reference provided in #1 above because I've been known to be wrong.
3. In the right window pane, right-click on the path to a folder you wish to change, and select Modify. Change the path to the new location wanted, and then reboot the computer.
4. Windows will create the new folder upon rebooting and futuristically, it should continue to use same. It is up to you to move/copy any information from the old folder to this new one.