You must have disabled or not installed Microsoft WebDAV Extension for IIS 7 (by default, WebDAV Extension is disabled when you install a new Web site).
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Configuring WebDAV Connector on IIS 7.5
Enabling WebDAV to handle paths with & sign
Configuring WebDAV Connector for LDAP authentication or single sign-on
Configuring WebDAV Connector authentication
Configuring the WebDAV Connector
Setting up a WebDAV client