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Editor's note: Contributor Alexandru Dionisie is an Internet Professional and Technical Writer. Follow him @AlexDionisie
Before we start, you should know that I wasn't able to get this working in Windows XP. It only worked in Windows 7.
In a SharePoint Team Site click in a documents web part. In the Library Tools command group click on Library tab and then click on the Open with Explorer command.
After opening the document library in Windows Explorer, either execute a right click on the general path (a), or on the full path (b).
From the contextual menu (c) click on Copy address option (d).
After copying the address go to My Computer and then click on the Map network drive command.
In the new opened windows specify a drive letter and then paste the copied address.
Now, the documents library from SharePoint 2010 is visible in My Computer as a mapped drive.