1. They dropped the My....
2. Pictures, Music are no longer sub-folders inside of My Documents,
3. Being special system folders, it is important that Vista know where they are. Just go to your profile folder: c:\Users\MyUserName
Then right click on Documents (or whatever folder you want to move) and go to the Properties. On the Location tab, just hit the Move button and select where you want it moved to. When you hit Ok you will get some prompts and things will be moved for you. And Vista will make sure everything gets redirected there.
This is the only "Supported" way to move these folders without using Group Policy.
BTW at least for My Documents, this works XP too.
Jorgie