Customizing Windows Explorer

I am having a great deal of trouble with Windows XP,
figuring out where I am when I open or save a file. For
example:
When I open Windows Explorer, the first folder in the
folders pane is "My Documents" I tried to delete this
folder that in fact is a shortcut, but the next time I
open Windows Explorer, there it is again. I would like
help getting rid of this folder permanently.

I am a single home user of Windows XP and cannot
understand why I have a folder named "Documents and
Settings" with 3 sub folders named "All Users" my
name "David Sheppard" and "Default User" Is there any way
that "Documents and Settings" could be deleted and all
the sub folders put in the C:\ directory. Just like it
was in Windows 95 and Windows 98.

Also I would like to remove the folder "David Sheppard's
Documents" that appears at the bottom of the Windows
Explorer folder pane.

The files displayed are not the same in each folder and
sometimes I save to the wrong folder.

I like windows XP But I would like to customize it to the
way I want it to work. Any help would be appreciated'