Under WinXP (and earlier I think) simply find the Current User's Desktop folder under Documents and Settings and Right Drag it to the desired location. Select Move. Reboot. That should automatically update the underlying registry. To be on the safe side you can first backup the whole of that Desktop folder by simply sending it to a compressed folder.
I think you may also be able to do it with TweakUI (to reset the registry pointers) and then copy the contents manually.