To create a WebDav connection to your SharePoint site please take the following steps:
* Open Windows Explorer. Double click "My Network Places"
* Double click "Add Network Place"
* Click "Next"
* Choose "Choose another network location" option and click "Next"
* Enter your domain name or IP address of your web server (For eg: http://domainname.com) and click "Next"
* You will be prompted for username and password, please use your SharePoint login credentials
* Give a name for the connection and click "Next"
* Click "Finish"
* To make a connection go to "My Network Places" and double click the connection you created.