Just for general information, Windows 6.x has those links, with no relation to any update from XP. A new clean install has them too.
In my case, for example, they are pointing to "C:....", not "E:....".
To "see" them in Windows Explorer, I select to show all hidden files and folders, and NOT to hide protected OS files. With these settings, you can see "old links" to "Documents and Settings", "Start Menu", "Default User", "Application Data" and so on.
Windows 6.x uses new locations, and sometimes new names, for those folders.
Those are there for compatibility with older programs and settings, and "normally" you have no access to them, even when you can see them in Windows Explorer.
As Igor said, those are "links", not real folders, so there is nothing to worry about, from a security point of view.