It seems to be a little known fact that NTFS supports mounting like Unix - a directory can be mounted at another directory within an NTFS volume (called a junction point). But the tools to do this are not available in the base install of Win XP and require an external tool, like Junction Link Magic. Keep in mind that the mount point must be on an NTFS volume; the mounted directory can be on FAT32.
If you want to refer to a file rather than a folder, create a hard link. (If Microsoft had the design sense to follow the Directories Are Also Files principle, we'd be able to create a hard link to a directory and wouldn't need junction points. This was partly pointed out to me by my friend.)
If you want to mount an entire volume rather than a directory, use Computer Management. The mounted volume then doesn't need a drive letter.
In the reverse direction, you can create a drive letter that refers to a folder, using the SUBST command.
Phew! I really wish Windows used the single-filesystem model of Unix!