I just stumbled across WebDrive, which seems to be a very nifty tool that allows one to map FTP and SFTP servers to drive letters on your PC. It can also connect to a WebDAV server. Hopefully this product solves the many problems that the “DAV redirector” built into Windows XP exhibits…
Upon revisiting this topic because I built up a new server, I stumbled across this interesting article on Heise Netze, which I recommend for reading if you deal with WebDAV.