Installed Windows Server 2003 R2 and can’t get home folder to default

I really need your help. I installed Windows 2003 Server R2 and have all (I think) security and shared setting set with permissions, but no luck with home folders. Here is the scenario

Single Server.
Server is also Data Storage
Need access to “home folder” for each agent that logs in, whether from local computer or off VPN.

On Server: User Properties: Home folder set as “local” c:\companyname\agent\agentname.

It accepts it, but after logging in from a local computer, it’s worthless. The “My documents” and reading is all from the local drive, not the server.

What am I missing?