That works well for a single file you may want to access frequently.
If you are looking for a quick shortcut to any file in My Documents, the only way to do that would be to make the shortcut as Tony suggests, but instead of selecting a specific document as the target, select the 'My Documents' folder.
If you do that, you will get a shortcut to the My Documents folder in your Start/Programs list, and tapping this will open File Explorer in that folder from where you could access any document.
For even quicker access, you could use the Start/Settings/Menu option to add the folder shortcut you just created, though you will need to remove something else as the list is limited to a specific number of shortcuts. If you do that, then your shortcut will appear in the main 'Start' menu (on WM6.1 anyway- WM6.5 does away with that feature unfortunately
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