Yes you do!
this is on my 2003 box.
1. At the File explorer, click the "Tools->Map Network Drive"
2. at the window, please click the link "Sign up for ..."
3. at the pop-up window, click next, next and input the url
http://l>:// For example: http://mysps:2005/Shared%20Documents
4. click ok to set up this mapping.