Click on My Network Places -> Add a Network Place -> on “Welcome to Add Network Place Wizard” click “Next” -> “Choose Another Network Location” click “Next” -> Enter the SharePoint Site URL or the URL to the Library.
For example: for Shared Documents Library, URL will be: “http://yourserver/yoursite/Shared Documents”.
Once you have added your SharePoint site to My Network Places you will be able to interact with your remote Sharepoint site as though it is on your local network.
When you return to My network Places and you will observe that there is a new icon representing your SharePoint site. To access it directly double click the icon.