Drag the "My Documents" icon into the Recycle bin, saying 'Yes' to the warning message. Now right click a blank area of the Desktop, select Properties and click the Desktop tab. Click the "Customize Desktop" button and put a tick back into the "My Documents" box in the Desktop Icons at the top. See if it then works properly.
If not, remove it again and create your own shortcut. Open Windows Explorer and ensure folders are displayed in the left pane. Don't go to "My Documents", but to the entry further down under your Username. For example, if you are logged in as Yimbo, go to the entry for "Yimbo's Documents". Right click this and select "Send To > Desktop (create shortcut)". That shortcut should then open My Documents.