To display or hide your My Documents folder on the desktop
navigate to:

- HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion
\Explorer\CLSID\{450D8FBA-AD25-11D0-98A8-0800361B1103}
\ShellFolder

Locate or create in the right pane the entry below :
Attributes

It is possible that the ShellFolder subkey does not exist(as happened
with me,tested on 2 PCs).You need to create it then.Rightclick on
{450D8FBA-AD25-11D0-98A8-0800361B1103} , new , subkey.Name the
subkey ShellFolder,create now in the right pane the entry:Attributes

Doubleclick Attributes and enter in Hexdecimal format:
f0400174 to display My Docs folder or f0500174 to hide it.

Note:It just worked by me after ticking in once "My Documents" under
Desktop properties (right click on desktop) , Desktop , Customize Desktop
Now you can display/hide the folder through the registry.