This opening of a folder, my documents or otherwise, can be as a result of a missing file that has a run command to open, this happened to me some years ago and that was the cause.
onlysomeone is on the right track, but as rassel said not everyone will have this shortcut. So Windows Start button, Run and type msconfig, click OK from the pop-up window click the Startup tab and look for an entry that originates from the my documents folder.
If you find any (report those found) check and see if it is from a redundant program, it could possibly be malware that has been removed but the startup entry still exists.
If nothing is found, there are other tools to try and find where it might be in the registry, Tech mentions Autoruns, if nothing found in that then try.
Program & Tutorial - Also useful as a diagnostic tool -
FileHippo Download - HiJackThis and post the contents of the HJT log file here. - HJT Information
HiJackThis Tutorial.