Make sure that you are using a valid WebDAV Server Folder URL, and that you are using the correct user name and password to access that URL resource.
Try setting up a Windows Network Place that accesses the same URL. If this is set up properly then you should be able to copy files to/from the network folder using Windows Explorer.
Another likely cause is that the c:\program files\common files\system\ole db\msdaipp.dll file is either missing or the wrong version. We have found that the correct version is 11.0.5510.0 and its date Modified is Friday, 11 July 2003, 2:25:22 AM.