WebDav is the protocol used by SharePoint to enable Explorer browsing and network mapping of SharePoint libraries.
WebDav is used mainly by the “Explorer View” feature but others are using as well (InfoPath, Excel, Word, PowerPoint).
On the server side there is nothing to install or configure in IIS (no need for enabling IIS WebDav Web Service extension) as SharePoint is implementing its own.
On the client side there is another story, each client needs to be configured differently because Microsoft have decided to change this with each operating System.
Windows XP: There is nothing to do as the Web Client is installed and enabled.
Windows Vista: The Web Folder service needs to be started for it to work.
Windows 2008: The Desktop Experience feature needs to be installed.