There is a way to set up a "Network Location" to appear as a "File folder".
These are the instructions for Windows 7:
1. Open "Computer"
2. Right-click in the blank area, and select "Add a network location"
3. Click Next
4. With "Choose a custom network location" highlighted, click Next
5. Enter your website info (e.g
ftp://www.mysite.com or
ftp://mysite.com/public_html/myfolder, etc.), and click Next
6. Uncheck the "Log on anonymously" box
7. Enter you FTP username, and click Next
8. Click Next (you can modify the name first if you want)
9. Click Finish, and wait a few moments for the site to open
10. Enter your FTP password when the "Log On As" window pops up
11. Check the "Save password" box, and click Log On
12. You should see the files/folders of the web server