In the files and folders lens in natty, it lists all the folders in my home directory as "favourite folders".
I store all my documents on a seperate shared drive, so how can I "pin" the actual folders I use here instead of these empty ones?
No it does not just show all the folders in the home folder. It shows the nautilus bookmarks you create. Since the default bookmarks are the Pictures, Video, Music, Downloads and Documents folder present in your home folder they appear under the favorite files and folders category in the files lens.