To map a Confluence WebDAV client web folder in Windows XP use ' My Network Places' not 'My Computer'.
WebDav client setup instructions can be found here.
Use network address: http://confluence.slac.stanford.edu/plugins/servlet/confluence/default
Atlassian has an open improvement ticket to address the issue with Windows connecting to WebDAV
Until resolved they have recommended BitKinex WebDAV client as a work around. It is available for free here.