One of the scenarios when this might happen is if you have a medium-large Farm with multiple Web Front Ends (WFE) and they are Network Load Balanced by Cisco router. Apparently Cisco does not support it. Mapping your network drive to a library is very useful if people in you network are doing bulk uploads of documents. When anyone tries to map they will be prompted with a login, guess what…. They might try to login till the day they die. Cisco says “Forget it”.
This issue is also the reason for getting “Access denied” message when exporting sites with SharePoint Designer (considering that your account has sufficient permissions to begin with). The good news here is that you can still use STSADM –O EXPORT.
Good luck developers that don’t like a command prompt!