Those locations no longer exist in Windows Vista. They have been
replaced by a new folder location.
While they look like shortcuts, they are actually what is known as a
junction. Their only purpose is to allow legacy applications to work in
certain scenarios and certain upgrade-from-XP scenarios to work.
Applications (and thusly you, as the user) are prevented from listing
the contents of these junctions as if they were a folder to prevent
applications from misbehaving (seeing the same data in multiple
locations would probably freak most applications out).
You can see where these junctions are pointing to using the command
prompt by issuing a 'dir /al' command.
For example, the "My..." entities have had the "My" prefix removed and
have been moved up one level in the folder hierarchy right inside your
user profile folder.
Microsoft MVP - Windows Shell/User
Windows Vista Support FAQ - http://www.jimmah.com/vista/