In Windows, the "Documents" folder is a virtual folder that exists separately for each user. Source Insight stores per-user data inside Documents\Source Insight 4.0.
Your Source Insight project data files are kept in your own user data area, and other users on the same machine will not be able to access them.
If possible, locate your "Documents" folder on your local drive. If you cannot do that, then you can set a registry entry to force Source Insight to use a local drive for the per-user data folder.
In regedit.exe, find the key:
HKEY_CURRENT_USER\Software\Source Dynamics\Source Insight\4.0\Paths
Add a new string value named "UserDataDir". Set the string value to the full path of the folder you want to user for per-user data. You will need to restart Source Insight after that, and you may have to recreate your projects.