So, I realize there's been other questions about getting custom music playing, but mine's a little different. I don't use C:\ for Steam, and instead have Steam on a separate hard drive. As such, there is no Rockstar Games\GTAIV folder on the C:\ drive to put the User Music folder in.
At the same time, on the drive I have Steam installed on (F:\), there's no Documents folder at all. Would I just make a Documents\Rockstar Games\etc... folder on the drive I'm using?