For security reasons I have the "My docs", "Music", "Downloads" and etc. folders in another partition just as you said before. In this case you can change the location as in the answer above, or Configure the Windows 7 libraries and use them.
The libraries are easy way to create something like shortcut to more than one location and select one folder as default where new files (when copying, moving or creating) will be saved by default.
For more info about the libraries click here.