I just went through this headache myself tonight so I know what you're talkin' about :)
There are really 2 ways to do this...
1.) Go about it the kludgy crappy way and use a logon script to map a drive...which only gets you part of the way there. You do this by creating a share on the local machine called netlogon and place a script in there that maps the drive with ahe appropriate credentials. You then go to the user properties page and enter the name of the script that you created, e.g. MediaUserLogon.cmd
2.) Create a symbolic link to the share. (this presumes you've granted sufficient share access rights to the Anonymous Logon account)
The first option will basically only get you access, but if you need to do things like use Transcode 360, you'll need the symbolic link since the transcoder pukes if the data is on a network drive (that it knows about). The way around this and to solve ALL problems at once is to create a symbolic link like so:
1.) Open an elevated command prompt and switch to Q:\ (Q is my local data partition...obviously yours will probably differ...)
2.) Run the following command: mklink /D NetworkMedia \\yourunc\path\goes\here
(quote the path if necessary)
3.) If you're running MyMovies to import DVDs for example, point it to Q:\NetworkMedia rather than the UNC path or your mapped path. When the transcoder hits the link...things work...if you use a simple mapped drive...not so much.
Then again...it's late and my thoughts are probably somewhat incoherent. Thank you Microsoft.