Creating a Web Folder in Windows XP:
1. In Windows Explorer right click My Network Places and select Open
2. From the Network Tasks side menu select Add Network Place
3. In the Add Network Place Wizard click Next
4. Select Choose another network location and click Next
5. Enter the location of your APEX images path e.g. “http://127.0.0.1:8080”
6. You will be prompted to enter your XDB username (usually system) and password
7. In the wizard, enter a name for the network place e.g. “APEX Images”
8. Click Finish

Note: on Windows 7, locate the Add Network Location Wizard like this: "Either click on Computer from the Start Menu or click on Computer in Windows Explorer. Right-click anywhere in the blank area of the right-side pane, and choose "Add a Network Location"
When Windows (especially 7 it seems) keeps coming up with this error message "The folder you entered does not appear to be valid.", then try a WebDAV client like http://www.bitkinex.com/webdavclient.