I had to get used to that too.
The "Libraries" as seen from your start menu consist of as many places as you want to add to them. So if you have music in 3 or 4 locations, spanned over a couple drives, it will display it all in your music library as though it were all in one location. You can add and remove folder locations to your "Libraries".
To access the more traditional folder menus, access them through your User menu, typically C:\Users\YourName\Music.
This applies to all the "Libraries": Documents, Music, Pictures and Video.
EDIT - With respect to the Documents Library, it typically shows 2 locations being Public and User folders.
I hope this answers your question........?