I just installed U1 on Windows Vista (Spanish language) and when I ask it to "open synced folders" it opens "user"/Documentos but there is no "Ubuntu One" folder. Should I create it? I'm worried about U1 uploading my whole Documentos (My documents in Spanish Windows).
Since I don't use Windows, I cannot provide a detailed answer. These are assumptions. If you test them and they fit, then great. :)
You should have an Ubuntu One control panel GUI application. If it's similar to the one in Ubuntu, then you should have a page called Cloud Folders. There you can choose which folders to sync on that device. And you can sync as many folders and you like and you don't have to sync all folders on all computers. For instance, you can sync one folder between your office desktop and home office desktop, but not with your laptops.
I would not expect Ubuntu One to create a special folder on Windows and I would certainly not expect it to sync the entire Documents folder. I think that would be a major bug. Instead, you should choose folders to sync and if you need others, then you should create them and configure them to be synced.
Hope it helps. :)