Actually -- in all due respect for TorrentG, who's almost always right about stuff-- it's easily done....
First create the folders you want to use for your various file groups, in the locations you want to store them (usually on a separate partition or drive)... Music, Documents, Pictures, Movies etc. This is easy, go to the folder or drive you want to create the folders in, right click, select New -> Folder... cycle through this until you've created all your folders.
Now to move the default save locations,
Click Start->(your username) This will open your home folder and show you the existing folders for your files. Pick the first one you want to move... Right click -> Properties -> Location -> Move ... Select the new location in...