Just a note that this is for a VERY specific condition and most users should not run into it.
Mapped drives do not appear to connect or disconnect in Windows Explorer - KB 812933
CAUSE
This issue occurs if the "Hide and disable all items on the desktop" system policy is enabled. Mapped network drive functionality in Windows Server 2003, Windows XP, and Windows 2000 does not work as expected in Windows Explorer when the "Hide and disable all items on the desktop" system policy is enabled.
