The Favourites folder is yet another artifact of the Windows operating system. It functions to store short cuts to web sites at the direction of the user.
My Documents is an artifact of the Windows operating system it serves as the default location for files to be stored which have been created by the user of the computer.
My Received Files is a folder within My Documents and is created when MSN messenger is installed for the purpose of saving chat logs and saving files received whilst communicating using the chat facility.
The recycler is a directory within the Windows XP environment which functions to temporary catalogue deleted files. The process of deleting a file creates an entry within the recycler. The recycler enables files to be retrieved that have been deleted in error.