1. Copy the URL of document library to the clipboard.
2. Right-click on “Network” located on Windows Explorer and choose “Map network drive…”.
3. In the opened up window click the “Connect to a Web site that you can use to store your documents and pictures” link
4. Click “Next” until the following window is shown:
5. Paste the copied URL into “Internet or network address” textbox
6. The key point is here: Delete the “HTTP” word and replace “/” with “\” just like the above image and click Next
7. Give a network location a name by filling “type a name for this network location” textbox. By default, it is the name of the document library (here: TechnicalDocs) and Click Next.
8. Click Finish