Something is getting confusing.

My Documents is just a link to where the student save their stuff.

If their files are saved on their h: drive which is mapped to \\servername\username then if you redirect my documents to \\servername\username then the my documents shortcut on the desktop will go to the correct place.

If you are saying that within a users my home folder their is a folder called my documents then redirect to \\servername\username\my documents you may need some quotes or even to use 8.3 notation.