@Pascal: nope, not at all.
All you have to do to is:
-use windows explorer (important because other file managers will not configure the appropriate registry entries in later steps)
- in the location bar type %USERPROFILE% or just manually navigate to the actual folder that holds the Desktop, Documents and other stuff
- use CTRL-CLICK to select multiple folders: Desktop, MyDocuments (or just Documents in newer OSs), Downloads, Music, Videos, Favorites, Pictures.
IMPORTANT: do not touch 'Contacts' or 'Saved Searches', leave them in the default location or you'll get slowness bugs at logon or when searching.
- with those folders selected, right-click on one of them and select CUT (yes, really, CUT. This will tell Windows Explorer that you want to MOVE them to a new location)
- go to the destination drive, make sure you are not in the root of the drive but in a (preferably empty) folder like \Data\ or something, right click inside the folder and select PASTE. Click YES on any notification that appears about files named "desktop.ini".
- after Windows Explorer finishes the move, LOGOFF and then login again. (or just reboot the sytem)
- to check things, if you now make a new text document on desktop and check its properties, you'll see that it's stored in the new desktop location.