I use web folders for several websites I've built. You configure the folders in Network Places so that they connect to the server your website resides on (mine connects to Angelfire since I'm cheap). So, when you want to access files on your website, rather than going into a FTP utility, you just go in through your web folders as you would normal folders on your computer. Want to save a file to your website? Then save it to the web folder like you would a normal folder, and it's done. It makes things a lot easier (especially if you use FrontPage), but I'd imagine there are far more secure options to take.

Anyway, that's how I use web folders.