Removed My old post. Due to the fact that sometimes ghost folders were appearing.
Also because of the fact that I Hate using GPO's for user settings knowing that powerfuse can handle it far better.
So I've been researching the folder redirect using powerfuse only and I've found a working solution using roaming profiles and mandatory profiles.
You need to edit a lot more registry keys than normally.
Lets begin:
First of all. Windows vista/server 2008 has a Bug in it or as Microsoft says by design.
You need to set the following key:

This setting can be made on HKCU and on HKLM so you can choose what fits you best.
Setting the following keys will redirect you folders:

Make sure that the Folders you redirect to are available at that location. Using the registry to redirect will not create the folder at the new location. So you have to create them for each user.
Last but not least the Ghost folders. In below the User name in the Navigation pane.
Setting the following key will fix that for you:

The hardest part was finding out the guids being used on some of the folders.
When you set the above settings all folders will be redirected to the U:\ On one condition that all folders are there.
I've used a simple global execute command in powerfuse to create these on log on.
It looks like "CMD /C MD U:\Documenten U:\Desktop"
I will make a new Building block this week. As far for 2008r2 I have no idea. Try it and if it don't work Undo the setting.