Hi blackpat. I don't really know what has happened to cause your problem, but My Documents is just a folder like any other. If you right click on the My Documents folder on your desktop, and select Properties, then look at what is in the Target: windo, you will see the location of the My Documents folder. This is the folder you want to write to the CD. If you want to, you can change the target to another location. I have created a My Document folder on another partition together with all my other saved files so it isn't affected if I have a Windows crash.
A word of caution. This answer refers to my Windows 98se installation. XP could be different.