If Microsoft every had of built a decent client into Windows Explorer like MacOSX has (rather than the crufty, half baked one they ran with) then it could have been great. As it turns out, it is only really easy to access it through FTP-like programs (separate from Windows Explorer).
Having said that, we had pretty good experiences with WebDrive  allowing us to mount WebDAV directories in Windows. Also, Gnome does a pretty good job on Linux with GVFS .
Which makes me wonder why approximately everyone has a parser for the common FTP directory listing formats, but I'm not sure I've seen any HTTP client that parses Apache mod_autoindex output or the other big servers' equivalents.