That's the default directory that windows have given to you, but if you want to change it, just change it through "registry", open the run menu and type "regedit" to open Registry Editor. then you will find the default directory lists in Windows or Explorer/IE Setting (I dont remember exactly, try to search "My Pictures" in registry editor). and change it. But if you have no experiences to change it, dont do this, it will destroy some setting that you have.
If you want to explore, you still can do this by activating System Restore make the restoring file (back-up) and try to change, reboot the machine.
If your Windows is corrupted because of your misschanging just Restore your previous setting by System Restore.