Make sure you have enabled simple filesharing:

1. Start Windows explorer
2. Go to "Tools" in the menu
3. Click "Folder options..."
4. Go to "View" tab
5. Enable "Use simple file sharing (Recommended)"
6. Press ok

How to make "My documents" personal (only user can access files):

1. Right click on "My documents"
2. Click Properties

   

3. Go to "Sharing" tab
4. Enable "Make this folder private"

   

5. Press ok