We have recently changed from using a proxy to not needing one. Once we unchecked use a proxy server from IE our drive mappings to SharePoint sites mapped via GPO stopped appearing. Also users who had mapped drives them selves were prompted to authenticate.
I had already assigned the SharePoint URLs to the Intranet Zone using a GPO. In order to get the WebClient service (this is the services that allows you to access WebDAV folders using explorer) passing the authenticated credentials on transparently(SSO) you need to create a registry entry to allow it.
2. Brows to: HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\WebClient\Parameters
3.Create a new Multi-String Value
4.Name it AuthForwardServerList
5.Modify it, type the URL of the server that hosts the Web share including the protocol e.g. http:// or https://
You will need to apply this to all computers you want SSO to the share point document libraries using explorer. This can be achieved using GPO preferences under; Computer Configuration – Preferences – Windows Settings – Registry
If you are using a shortcut and the path looks like \\server.domain.com\DavWWWRoot\… and your SharePoint site is using SSL you need to update the shortcut to use @SSL after the server name – e.g. \\server.domain.com@SSL\DavWWWRoot\…