I believe you will need a third party app to do this w/ an iPhone.
Check ilounge.com to see if this feature exists. Otherwise, they will also have software reviews to search for an alternative like File Magic, etc.
My IPhone does not show up in the My Computer folder when I connect it to my computer. iTunes recognizes it and syncs but I cannot explore the IPhone on my computer. When I connect it, a window pops up asking for which program to use to access the phone but gives me no programs to select. I close the window and when I open the My Computer folder, it does not show up. I connected the phone to my work computer and it is listed in the My Computer folder there. I am using Windows XP Home, SP3 on my home computer. When I check in Device Manager, it is listed there. Any assistance would be greatly appreciated.