I can see the (XP) shared folder on my Mac (10.6.8). If I try and drag/drop the folder in finder, I get an alias to it. How do I copy the folder itself?
Hold the Option key as you drag the item to force the Finder to make a copy.
In more detail: what the Finder does when you drag-and-drop an item varies depending on what it is and where you're dragging it. If it's a volume (local or network), it makes an alias (as you've seen). If it's a file or folder and you're dragging it somewhere in the same volume it's in now, it moves it. If you're dragging to a different volume, it copies.
You can override these defaults by holding modifier keys as you drag the item: Command to force it to move the item, Option to force it to copy, and Command-Option to force it to make an alias. See Apple's keyboard shortcuts list (at the bottom of the "Finder keyboard shortcuts" section).