Windows XP (and 2000) is set up so that each user has a separate documents folder, but they are all called My Documents from the perspective of the user currently logged on.
So when you log on, Windows sets up the shortcuts to point to your specific documents folder.
The actual location is c:\Documents and Settings\Username\My Documents. The others are all shortcuts. If you right-click and select propoerties, you will see this for yourself.
They are not multiple copies of the same file, if you delete a document from one it disappears from all.