The functionality is available in WSS2/SPS2003 and newer. There are some
caveats/known issues/client side requirements though.
1) You must be running XP, Server 2003, Vista, or Server 2008 on the
client side with the "Web Client" service enabled and running
2) Don't include the "Forms/AllItems.aspx" part of the URL and don't
use URL encoding for spaces and special characters when accessing via UNC
(e.g. in the original example the UNC should be \\sharepoint\marcello\Shared
<file:///\\sharepoint\marcello\Shared%20Documents\> Documents\ )
3) You must allow WebDAV access to your server, and it must not be
blocked by any intermediate proxies or firewalls.
4) There are some know issues with using Basic Authentication on
certain client/server combinations - there are KB articles with
fixes/workarounds out there for those that have issues.
5) Top level site access (e.g. \\sharepoint\ <file:///\\sharepoint\> )
can sometimes conflict with the normal server file sharing - there are a
couple of workarounds:
a. Use FrontPage/SharePoint Designer to access the site first
b. Use a network place to map to the http:// URL instead
If you are getting an auth prompt but not access, you are likely running
into either 4 or 5.