I'm guessing it could be a few things...
If you're on shared hosting, your https address isn't that of your domain. It'll be something like this: https:// server.eukhost.com/~yourusername/ where "server" is the server you are using for hosting which you can see on the left hand side in CPanel.
Another thing that might be possible is that you need frontpage extensions installed. When I've added my
website hosting as a network place in XP, I've had to have them installed to get it to work.
I'd see if those things work and if not, I'll see if I can think of anything else.... Lol.