OK, a few things:
(1) For Windows to (via the Properties page) change the location of the 'My Documents' folder the folder you wish it to now point to must exist already. Windows will not create it. Make sure that a 'My Documents' folder exists on your drive, in the location you specify, before making the change.
(2) If that doesn't work the registry location for the 'My Documents' folder location is:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders
Start RegEdit and 'surf' down to the proper location by clicking the little 'plus' next to each one of those names. When you are in the User Shell Folders location in the left pane the right page will contain (among others) the key:
Personal
double click on the word 'Personal' and type in the new location. The computer must be rebooted for this to take effect. Reboot immediately.
(3) If THAT doesn't work:
(a) was the server's drive 'mapped' to your computer. Did the server's drive locations show up as a drive on YOUR computer in Explorer (F:, M:, Z:, etc)? If so unmap the drive. Go into My Computer, right click on the mapped drive and select 'Disconnect'
(b) Let's remove all references to that server drive. In RegEdit go to:
HKEY_CURRENT_USER\Network
and in (directly underneath) that entry, left hand side, you will see:
Persistent
Recent
inside each one of those entries are UNC (Universal Naming Convention) paths to network services you have accessed. Go into each one, Persistent and Recent, and delete any references to the server path that held the 'My Documents' folder. So if the server name was 'server' and the drive was 'c' the entry would read:
././server./c
delete it. Reboot.
One of those solutions should work for you.
Regards Your mileage may vary...