Click Start, click Run, launch REGEDIT. Navigate to HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Shell Folders. Find the value named My Pictures in the right-hand pane. Double-click it and change its data so it points to your Pictures folder (i.e. delete "My "). Now scroll down just a bit and select HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders. Again find the value named My Pictures and double-click it. Change its data from %USERPROFILE%\My Pictures to %USERPROFILE%\Pictures. Reboot. Now when you delete My Pictures it won't return from the dead.
This is for the pictures folder as its the only one i needed to get rid of. hope this helps