This reminds me of some observations by Douglas Hofstadter and self-referential expressions. I forget where he wrote this (Metamagical Themas, perhaps), but he wondered, when you come across a dirty car with "wash me!" drawn into the dirt, to what does "me" refer? Why do we assume it's meant to be the car; perhaps those words are some desperate plea from a passerby in need of a bath.

The funny thing with seeing a folder named "My Documents" is that since I did not create that folder, and did not pick that name, my gut reaction is to attach "my" to whatever entity did create it.