normally as far as i know you cannot delete the "my documents folders as they are protected by the system and will be restored upon restart as you have found.
you may want to try(at your own risk)
"Click Start, then Run and type: regsvr32 /u mydocs.dll You can then delete the MyDocuments folder/sub-folders like EBooks" taken from click here
or you could move it to another location maybe click here
i have not tried either so cannot comment as to if this does or does not work or cause problems.i would just leave it and right click the taskbar/properties/start menu/customize/advanced and tick "dont display this item" for the folders in question maybe.