How to change where programs looking for "Documents" go

[Microsoft Windows]

Some pesky programs like to store their files in the Documents directory instead of AppData. This is bad. Especially bad for those who have their Documents folder synced to OneDrive. I want to configure my system such that when a program looks to save something in "Documents", it instead goes somewhere else (ideally whilst preserving the pinned state and special icon of my actual Documents folder). How can I do this?

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