Add this ADM to your Group Policy from the MMC and implement like any other setting. Please check the following:

1. How to use the Administrative Template for Folder Redirection

Firstly, you cannot see these settings unless you alter the way that the MMC displays:

Click on Computer Configuration, Administrative Template, then for
Windows 2000: you must click Views, then uncheck "Show Policies Only", and for
XP: View, Filtering, and then uncheck "Only show policy settings that can be fully managed".
You'll need to do this for both Machine and User, if you want to use both.

Secondly, any changes you make through the MMC are applied immediately to the workstation, and more importantly, they are NOT reversed when you close the MMC, so beware.

2. Note
This has only been tested with Windows XP SP1 and SP2.

I take no liability for the use of this ADM file.