See also: Software
Samba (or CIFS) allows you to connect to a Windows share, if it's the client, or act like a windows server (share) if it's the server.
On a linux system, you can create a file called ~/.smbmount (in your home directory). This file should contain your “windows” username and password in the following format:
username=tim password=somewhat_secure_password
Of course, you can always enter your username / password at the command line.