Virtual Folder in My Computer

We have a document management system based on MySQL which currently is running through a web application. Currently users need to open the system up and upload the document they wish to add to the web server. We have seen a few companies (like Bullguard) which have software which creates a directory in My Computer which you can copy files to as if it was a normal directory which then has the application transfer it to the Bullguard database remotely. Does anyone have any idea how this is done as we are wanting to do something like this.

What we want to do is when the user opens the special directory in My Computer is opens the file explorer and shows the directory tree from the database application and when they save the file it is saved to the database as a new file. I also need a way that if the file is opened through the file explorer and is then saved to again so the file has been modified it will also trigger an update in the database to create a new version of the file and save the former versions of the file in the document management system history. I can already do this with the web portal we have just wondering how to go about doing it as a special application in Windows and a special directory or if someone can point me in the right direction with regards to documentation to learn how to do it myself.

Thanks.