Do you have Microsoft Office installed on that machine?
The ability to add a document I'm assuming you mean a Microsoft Word Document as there are TXT and other files types to add, and they can be added anywhere not just your My Documents folder.
If you have MS Office installed and the feature is not available you may want to try and re-install MS Office which should correct that for you. I think it needs to be MS Office 2003 though - don't know all the details but some portions of Office prior to 2003 appear to have issues with Vista according to some users.
