Windows XP is designed to be used with a profile specific to the user. The files and data created by a user belong to the creator. This function is used because of enhanced security as well as more appropriate file management. Therefore, logging on to the computer as a different user will result in the inability to browse for the file that was previously saved in My Documents or My Pictures.
To avoid this symptom, always log on to the computer as the same user who previously created the saved file.