Before we start, you must know that in Windows XP I didn’t managed to do this. It worked only in Windows 7.

In a SharePoint Team Site click in a documents web part and then in the Library Tools command group click on Library tab and then click on the Open with Explorer command. 

After opening the document library in Windows Explorer, either execute a right click on the general path (a), either on the full path (b).
From the contextual menu (c) click on Copy address option (d).

After copying the address go to My Computer and then click on Map network drive command.
In the new opened windows specify a drive letter and then paste the copied address. 

Now, the documents library from SharePoint 2010 is visible in My Computer as a mapped drive. 

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