Here is a script that may fix the problem.
click on the link - my documents opens at logon
http://www.dougknox.com/index.html
or manually edit the registry if you feel comfortable with doing so...
open regedit (if you've never opened regedit then skip this)
browse to
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon]
assuming you installed windows into the default location, change the value for userinit too...
C:\WINDOWS\system32\userinit.exe,
(the comma is intentional)
****make a backup before making changes****