You cannot open a Web folder by double-clicking it in Windows Vista and in Windows Server 2008
On a computer that is running Windows Vista or Windows Server 2008, you have a Web folder. In Windows Explorer Navigation pane, the Web folder is displayed. You can open the Web folder by right-clicking it, and then clicking Open. However, you cannot open the Web folder by double-clicking it. After you open the Web folder, you cannot drag the files from or to the Web folder.
Note: For more information about how to enable Windows Explorer Navigation pane, see from “More Information” section.
For more information on this issue, including potential causes, workarounds, and resolutions, see: Microsoft KB Article KB977262.