How to change The Storage Location from "My Documents".

I just found out about this today, and I use Windows XP for some time now,
 so i guess there are others out there who don't know about this yet.

But normally windows saves the "My Documents" folder
on your C-drive.
 But when you right-click on it and go to properties,
 you can change the location where you want
 windows to save your Documents folder.
I have a partition set up with just windows on it,
 and all my things i want to keep are on different
 partitions/disks. So now I put My Documents
on another partition than where I have windows
installed. If windows screws up and you have to
 format your C-drive again, your documents will
 be spared at least...