You already have a shortcut on your desktop to My Documents, what benefit do you hope to achieve? Dragging and storing documents onto the desktop creates a hugely bloated profile and the desktop is not designed for such things.
According to Microsoft themselves:
Don't store files on the desktop To improve your computer's
performance and find files more easily, it's best to store files in
the Documents folder rather than on the desktop.
To access files from your desktop, create a desktop shortcut instead.
Microsoft Desktop Tips & Tricks
Found a good link.
Tweak UI is also an option.
Change default XP Save In Location
now navigate to:-
Note that by default Placesbar key is not present; you need to create
one. Create a String value for it named Place0. Place0 is the top-most
folder, it appears on the Open/Save As dialog. Type the folder name
with it's full path as the value of Place0. You can create similar
keys and values upto Place4.It will be like this:- Place0 Place1
Place2 Place3 Place4