There is a setting in the user profile in Windows that gets stored in the registry, I think. Had this issue at a customer about 6-8 months ago and was able to figure it out because some users did have it going to the correct place, and a search in the registry on their computers for that path showed me what to change on the one that was going to My Documents.
(I used to be able to just remember this stuff, and now I can't even remember to write it down...)