I don't believe there is a way to do this in Windows 7 without third party applications, as shown here: http://www.countrykeepers.com/wp/?p=3017
So I copied this from that link. If you have Windows XP, apparently, this works. Check the link for verification. Sorry I couldn't be more help.
Open Windows Explorer.
Right-click on the Computer entry in the left pane and select “Add a network location”. Click next.
Select the “Choose a custom network location” option (it was the only one presented to me) and click Next.
Type in the UNC path desired and click Next twice. This adds an entry that shows up in left pane of Windows Explorer below the mapped drives, but it works just like a mapped drive and shows up that way in the Save dialog of applications.
In Windows Explorer, navigate through that entry to the desired sub-directory and click in the blank area to the right of the bread crumbs path display in the top of the Windows Explorer screen and the UNC path appears and is highlighted.