Official Microsoft Knowledgebase article on this particular problem can be found at: http://support.microsoft.com/kb/2445570
Issue Summary:
Confirm that there is not a proxy server between the client and the WebDAV resource. If there is no proxy server involved, de-select Automatically detect settings in the LAN Settings for Internet Explorer:
Start Internet Explorer.
Click Tools, and then click Internet Options.
Click the Connections tab, and then click LAN Settings.
De-select Automatically detect settings.
Click OK and test functionality.