The answer you seek is called "Roaming Profiles." Microsoft has some basic documentation on Roaming Profiles here, but I've documented the heck out of how they actually work, live and breathe in my Group Policy book at GPanswers.com. Only caveat -- don't use Windows XP or Windows 2000 roaming profiles and expect to be able to roam alongside with Windows NT and Windows 95 clients. That doesn't work so well.
This was first published in April 2006