Files not downloaded to the draft location on local pc with Sharepoint 2010

I've recently upgrade my Office 2010 to Office 2013. Our sharepoint version is still 2010.

After I check out a file from our sharepoint, the file is not downloaded to the local default location:

C:\Users\username\Documents\SharePoint Drafts\

My office option for the check out file is set to 'Save checked-out files to the server drafts location on this computer'.

What steps should I do to make sure I can edit the checked-out file with Office 2013 on my computer?