You can redirect the My Documents folder to another location such as a network share. Here's a script that edits the registry to move the My Documents, and My Pictures folders.
1.
Save the following script in a text file called Redirect.inf (use Notepad). Change PERSONAL and PICTURES to the paths you want to use for the My Documents and My Pictures folders.
[Version]
Signature=$CHICAGO$
[DefaultInstall]
AddReg=Reg.Settings
[Reg.Settings] HKCU,Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders,Personal,0x20000,"%PERSONAL%"
HKCU,Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders,My Pictures,0x20000,"%PICTURES%"
[Strings]
PERSONAL = "\\Server\Share\%USERNAME%\My Documents"
PICTURES = "\\Server\Share\%USERNAME%\My Documents\My Pictures"
2.
Right-click Redirect.inf, and then click Install.
There are other ways to script this type of registry edit, but I like the flexibility of INF files.
The Knowledge Base article How to Change the Default Location of the My Documents Folder explains how to do this using the Windows XP user interface.