Back in 2002, Novell developed some software called NetDrive that can map a WebDAV, FTP, SFTP, etc. share to a windows drive letter. It is now abandonware, so it’s no longer maintained (and not available on the Novell website), but it’s free to use. I found quite a few available to download by searching for “netdrive.exe” I actually downloaded a few and compared their md5sums to make sure that I was getting a common (and hopefully safe) version.
Update 10 Nov 2017
SFTPNetDrive is the current project from the original netdrive project. And they made it free for personal use:
We Made SFTP Net Drive FREE for Personal Use
They have paid options as well on the website.