If you want to connect to any Windows machine that has file sharing enabled, you can use samba, which is built into your OS X operating system. To access a computer you will need to know the name of the workgroup, name of the computer and the share name. For example if I want to connect to "c$" share on a Win 2000 box named "test" in the workgroup called "mac", click on "GO" then "connect to server" and type smb://mac;test/c$ in the address box.
For those wanting more detail (for OS 10.1.x), try this KnowledgeBase article
If you are using OS 10.2 or later, read this article instead.
Also, check this FAQ article.