First off, rename your current My Games folder in My Documents, something like My Games.bak will be fine for now. Open up a Command Prompt and browse to your My Documents folder.
From here, you're going to create a Junction which is like a Shortcut on the system level.
mklink /j "My Games" "%userprofile%\Saved Games"
And finally we'll remove it from sight with this command.
attrib +s +h +i "My Games" /l
Now move the contents of your My Games.bak into your Saved Games folder. From now on when a program goes to access My Games, it will use the more appropriate Saved Games folder. One note, if you will need admin privileges to do this, so if you are running cmd as another user you won't be able to use the alias %userprofile% and instead will have to type out the full path "C:\Users\