Rudge et al,
Look at Open Folder in /usr/share/applications. Open it and you will see that its name is pcmanfm-folder-handler.desktop. I had thought that this was the "My Documents" .desktop file, but after after some testing of ShowIn/NotShowIn have concluded that it is not. Open /home/<you>/Desktop, and you will not see "My Documents" listed. Nor will you find it in /root or /etc/skel.
Right click the desktop icon, open it with your text editor, and you'll see a blank page. This has led me to conclude that this icon is governed in some other way.