XP Pro user group question

Windows XP Pro Laptop
I have a user acount on it. At home I log in with that and use a wireless network.

When I log on to work, where I have a domain, I log in with the same username and password. I must plug in a cat5 cable at work (no wireless).HOWEVER, when windows loads I am not in the same profile(user) as when at home. I can tell because My Documents is empty. None of the stuff I saved there at home is there at work. BUT I logged in with the same user, only I specify a Domain at work.

Does Windows see a user as 2 people, 1 for each domain?? What is going on here. The goal is to be able to have one user account (and therefore one set of user folders) when I log on at work and at home with the same user.