This is a common problem. It is a bug in windows installer usually caused by upgrading to windows xp. To correct it, you should open regedit, and verify the entries of this key:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders
and this one:
HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders
Make sure the paths point to the correct locations.