This should work out of the gate.
Though Joojaa may be correct that it is more elegant not to share these paths.
also your C:\My Documents\maya\scripts directory should work
You can check your path with
[codebox]########################
import sys
for path in sys.path:
print path
#You can append to your path
sys.path.append('C:/path/where/you/save/your/python/scripts')[/codebox]
If you want to do this every time you start maya, put the code in a file called userSetup.py in your maya/scripts directory.
Maya doesn't mind multiple userSetup.py files(unlike userSetup.mel), each one will be executed if you have more than one in all your paths on the sys.path.