In Windows 2000, Microsoft added the ability to right-click the My Documents folder and choose a new location for that folder in the shell. With Windows XP, Microsoft has elevated the My Music and My Pictures folders to the same "special shell folder" status of My Documents, but they never added a similar (and simple) method for changing those folder's locations. However, it is actually pretty easy to change the location of these folders, using the following method.
Open a My Computer window and navigate to the location where you'd like My Music (or My Pictures) to reside. Then, open the My Documents folder in a different window. Drag the My Music (or My Pictures) folder to the other window, and Windows XP will update all of the references to that folder to the new location, including the Start menu.