The Folder Redirection extension fdeploy.dll logs events in the Application event log, so that's the first place you should check when trying to troubleshoot a Folder Redirection issue on your system. If that isn't enough however, you can also enable diagnostic logging for this extension by setting the following DWORD registry value to 0x0F:
HKLM\Software\Microsoft\Windows NT\CurrentVersion\Diagnostics Set\FdeployDebugLevel
In pre-Vista versions of Windows, doing this will create the diagnostic log file %windir%\Debug\UserMode\fdeploy.log. For Vista however, doing this simply adds more detailed info to the event log.