In Windows O.S.  My Documents resides at    C:\Documents and Settings\username by default and whatever you download would go there by default.  Ex: gtalk shared files, gmail documents, songs , pictures etc (unless and until you have not specified the alternate  path for downloads).
Nobody wants to go deep inside to open a file. At least I never choose my documents for my downloaded stuffs storage purpose.
Because of 2 reasons, I have changed the default location of My Documents:

1.       It gets stored in C drive where my O.S.  is  installed. And who knows it may crash anytime (I always consider worst case :P). By that time I will lose all my data from My Documents which I never even want to lose.

2.      The drive where you install your O.S, that will be provided very less percentage of total space of HDD. Say 30 GB for C drive if HDD’s capacity is 500GB. I have different drives for storing data like D drive for Movies, E drive for software, books, tutorials etc. So I need to save all my contents either of these drives rather than C drive.

How we can do that?
Again I can have two ways to accomplish my task 🙂

1.       Without using Registry editor

a.       Locate My Documents folder by clicking on start button then at right side you will see My Documents and right click on it then click on properties.  See Fig 1.

b.      After opening properties window, you will see target folder location tab. Change the destination of you’re my Documents anywhere you wish. Ex: D:\My Documents (provided My Documents folder should be there in D drive)

2. Using Registry Editor:

a. Open run command, type regedit and hit enter to open registry editor window

b. Browse for : HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Shell Folders’ key, right-click on the ‘Personal’ String Value and click on ‘Modify’.

c. Provide the My Documents new address wherever you want and click ok.

d. Browse for:
‘HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders\’ key, right-click on the ‘Personal’ Expandable String Value and click on ‘Modify’.

e. Again Provide the My Documents new address wherever you want

f. Click ok . Done!

See the images for step by step Illustration of Registry Editor values changes.