This is possible, but somewhat tricky, as it involves shortcuts.

Set your Windows partition to mount at startup

1. Search for and open "Disks".
2. Find your Windows partition here (the NTFS one), and click the gear icon.
3. Choose Edit Mount Options...
4. Enable Automatic Mount Options and uncheck Show in User Interface. Also leave the 3 fields in that section blank.
   • Make sure Mount at startup is checked.
5. In the Mount Point field, choose a path for the partition to mount to.
   • /media/YOURUSERNAME/windows should work fine.
6. Choose NTFS for the filesystem type.
7. Apply the changes.

Source:

http://ubuntuhandbook.org/index.php/2014/07/mount-partitions-automatically-ubuntu-14-04/

Set up the shortcuts

This part is the tricky one, since it involves deleting or renaming your current Ubuntu folders.

1. Reboot to make sure the Windows partition is mounted as it will be from now on.
2. Go to your Home folder and rename or delete any of the folders you want to reflect what Windows has.
   • If you have any files in the folders that will be deleted, move them to the Windows folders.
3. Now, browse to the Windows partition and go to your user folder there.
4. Right click the folders you want to mirror and select Make Link.
5. Cut (Ctrl+X) the links and paste them into your Ubuntu Home directory.
6. Remove everything extra from the links so that you are left with their original names (Downloads, Documents, etc.).
   • If Windows has the folder named My Pictures or My Documents, remove the "My" as well.

I have done this (it's my current setup) and can confirm it works if done correctly. It's a bit of an ugly method, but it does work quite nicely, and I haven't had problems so far.

If you need any help, just comment.

EDIT:

To address your edit:

No, I do not believe there is a native method for Ubuntu to change the location where it looks for certain folders. I know in Windows it's possible to change the location of user folders such as Downloads, Documents, Pictures, Music and so on.

However, I haven't found something like this in Ubuntu. Even if it does exist, I highly doubt it would have any sort of support for NTFS.

You could always install ext2fsd on Windows and then set the Windows folder locations to their corresponding locations on Ubuntu. This is still a workaround, however. It's a little more integrated, yes, but ext2fsd doesn't always work. For that reason, I recommend not trying it this way.

Your external disk is mounted at the location /media/wagner/Backup.
The directory where the files you want to copy are located is /media/wagner/Backup/Videos. The destination directory is /home/wagner/Videos or ~/Videos, which is the same.

Note that ~ is a synonym for /home/YOUR_USERNAME, i.e. /home/wagner in your case.

The command you want to run is this:

mv -v /media/wagner/Backup/Videos/* ~/Videos

Alternatively, if your current working directory is already /media/wagner/Backup, this is enough:

mv -v Videos/* ~/Videos