Hello Fredrik and welcome to the windows7forums.
If you have had your system up and running for a while, this will not work. I searched throughout the registry and changed ever occurrence of those folders and it still didn't work.
I found out how it can work, but you have to do it immediately after installing
I have tried. I simply copying all the folder to my E: partition, which I did successfully, but I have to manually move files to these folder.
I jut copird the Documents, Pictures, Videos, and downloads to the E"\users\Jim directory.
There are some software programs that allow you to choose the save directory and that will work.
But many software installs will still make entries under the c:\users\AppData\Roaming folder.