On my system, it put the My PSP8 Files in my ~/[username] folder. I also did something to help with the hacking... pop a term shell (like konsole) and do this?
ln -s ~/.cxoffice ~/CxOffice
This puts a folder "CxOffice" in your ~/[username] folder. This is easier to see and use than a (dot) file. Then you can access the config files and stuff to do a little hacking/snooping. :)
For the problem you're describing, I'm thinking maybe you could examine the ~/.cxoffice/dotwine/config file in a text editor. Look under the [wine] area. I didn't see any entry for "Documents" but wondering if that could be changed? Before hacking the config file, you might want to copy the original to a file like config_original and never edit that one, just work with copies.
I've done some wine config file hacking before, but I haven't seen anything that references a pointer to the documents folder.
I just saw something. In ~/.cxoffice/dotwine/user.reg text file there's an area [Software\\Jasc\\Global] and in it is "PSP8DefaultWrite"="Y:\\My PSP8 Files\\". If you looked at the config file mentioned earlier, the "Y" drive is actually your $HOME directory. Hmm... wonder if you backed up the orginal user.reg file, and made the change there and tried again? Like change it to C:\\My Documents\\My PSP8 Files? You'd also have change all instances, as later on in the user.reg file it references for Brushes, Bump Maps, etc. that are within the My PSP8 Files folder. While this would normally be done in PSP's own File Locations dialog, since you can't get past the start screen, it might be needed to tweak the registry.
Oh yeah, and did I mention to BACKUP your files and never edit the originals? I guess I said that again. ;) I keep trying to remind myself of that because when hacking config files, things have a habit of getting miscombobulated to pieces if you don't have backups handy. Heck, I even sometimes back them up to a floppy disk and store that somewhere safe, just in case!
Anyway, I hope some of this info might be of use to you in getting it going. I did remember something about PSP 8 trial not letting you make some of the changes that the full version would, like default installation directory and things like that. But I can't remember if that was just for the Beta versions or final... It might be some of what is keeping the trial from running, I'm wondering.