In order to open and save files from a client application to a SharePoint server, you have to be able to access it as a file system, not just a website in a web browser.
SharePoint allows you to access using UNC and WebDAV.
You can map a drive letter to the UNC share or the http://xyz address, or you can add a shortcut in ‘My Network Places’. These pages talk about both ways:
http://blog.crowe.co.nz/archive/2005/08/31/244.aspx
http://www.cubido.at/Blog/tabid/176/EntryID/145/Default.aspx
In order to use http://, you must have Web Folders installed. This feature comes with Microsoft Office 2000 or later (You cannot connect to a Web folder from a Windows Server 2003)
In order to use UNC or map a drive letter, the WebClient service in Windows must be running.
http://www.theeldergeek.com/webclient.htm
Important:
Vulnerability in Web Client Service Could Allow Remote Code Execution (911927) (in Server 2003 SP1)
http://www.microsoft.com/technet/security/bulletin/ms06-008.mspx
Should I have the Web Client Service running on the SBS2003 server?
Related Articles
http://learn.iis.net/page.aspx/386/using-the-webdav-redirector/
What does the WebDAV Redirector do? http://technet.microsoft.com/en-us/library/bb457156.aspx#EFAA
…every access to remote files on a WebDAV server by Universal Naming Convention (UNC) … will be processed by WebDAV Redirector.
The WebClient service stop responding when you try to map a network drive to a WebDAV shared folder from a Windows Server 2003-based computer: http://support.microsoft.com/kb/951851
Unable to Add a Web Folder to the My Network Places Folder (System Policies): http://support.microsoft.com/kb/269681/en-us
About WebDAV (IIS 6.0): http://www.microsoft.com/technet/prodtechnol/WindowsServer2003/Library/IIS/844f5e01-4b9e-4dac-897e-2a0bb33f28af.mspx?mfr=true
Using WebDAV with IIS:
