From;
How to Re-create a Missing "My Documents" Icon on the Desktop [Q217764]
http://support.microsoft.com/default.aspx?scid=kb;en-us;217764

To re-create the "My Documents" icon, use any of the
following methods:
 
Method 1

Right-click an empty area on the desktop, point to New,
and then click My Documents Folder on the Desktop.

Method 2

Click Start, point to Programs, and then click Windows Explorer.
Locate the My Documents folder.
Right-click the My Documents folder, and then click Add Item to the Desktop.

Method 3

Click Start, point to Programs, and then click Windows Explorer.
Locate the My Documents folder.
Right-click the My Documents folder, and then click Copy.
Right-click an empty area on the desktop, and then click Paste.
Click Yes when you receive the following prompt:

"The My Documents folder cannot be copied to the desktop.
Would you like to create a Desktop item that points to the My Documents folder instead?"

If none of the above work try the following;

1. Go to Start>Run>regedit

2. Navigate to;
   HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\
   Explorer\Documents

3. Locate and delete the Value;
   HideMyDocsFolder