First, if you're in a domain environment, you would give the correct NTFS permissions to the share and setup a login script. I like using net use
net use z: \\server\sharename
If you're in a workground environment, if you create the same user name and password on the shared machine as you're logging in at the client you can do the same thing.
If something like that isn't available you can specify the user name and password with the script.
net use z: \\server\sharename /user:machinename\username Password
I make it a little harder for the average user to know the permissions and set it as an exe with this tool.
http://download.cnet.com/Bat-To-Exe-Converter/3000-2069_4-10555897.html