In Windows 7, the folder My Documents is actually still c:\Users\YourName\Documents, where "YourName" is your user or log in name.
Try this: click on that little blue ball with the window logo in the lower left of Windows. (Usually lower left). In the box that says "Search Programs and Files" type in the name of your access db. When you type in enough of the file name, you can spot it in the results above. Right click on the DB name, click properties, then in the properties window you can see the full path to your DB under the shortcut tab in the Target box.
What provider, specifically, are you selecting?
I have always found it odd how Esri has two different help pages instead of one for connecting to Access databases: Connecting to a Microsoft Access database in ArcGIS and Connecting to a 2007 Microsoft Access database (.accdb) in ArcGIS. Typically, users I help don't distinguish between the older and newer formats so they search on "Microsoft Access" and find the older one, which basically misdirects them to select the wrong provider. And, bettery yet, the screenshot doesn't match the instructions (the screenshot has ODBC drivers selected and not JET or ACE).