Can't set document location for individual users in word 2003

Two people use my computer, Nathan and Michael. Both are Administrators. When Nathan is logged on his Word 2003 documents are saved in: C:\...Nathan\Documents.

When Michael is logged on, his Word 2003 documents are also saved in: C:\Nathan\Documents.

Obviously, the way it should work is Nathan's Word documents should be saved under his log-in and Michael's documents should be saved under Michael's log-in. I can't make that happen. Here's what I've tried so far:

I go to Control Panel, Tools, Options, File Locations.

When I click Modify I can indicate a different folder for saving Word documents, but I can't change the location "Nathan." Also, any change I make just adds the new extension to the existing. Example:

C..\Nathan\Documents Modified to: C..\Nathan\Documents\Documents

just an example. Whatever I choose is added onto the existing location

C..\Nathan\Documents.

I hope I've explained this clearly. Any Word 2003 experts out there who can help on this one? It's really got me puzzled. Thanks in advance.