This is one thing ubuntu misses compared to windows.
but it's actually kinda easy (still some quirks).
Open a file browser (nautilus, d3lphin, dolphin, pcmanfm, etc) as root, and navigate to /usr/share
Now, create a new folder. Rename it to what ever you like, I suggest shared documents (keeping it in lower case is advised). Now, change it's properties so that all users can read/write/execute it.
Now, create symlinks to every user's folder in /home
Update: Copy a symlink to "/etc/skel" as well to ensure it is there for new users too :-)
All done!