My Documents and C:\My Documents

In my XP setup, on the Desktop appears an icon called 'My Documents'.
Clicking on it opens Windows Explorer. Clicking on the Folders button at
the top of Windows Explorer opens the folders tree on the left side of the
window. At the top of the folders tree is the icon for 'Desktop', and
directly below that is 'My Documents'. Below 'My Documents' is 'My
Computer' which, when opened, reveals icons for each drive. Within the C:
drive is a second folder called 'My Documents', the contents of which are
apparently not the same as the contents of the 'My Documents' folder shown
directly under 'Desktop'. Why not? It's a bit confusing.