The short answer is no, as it will prevent you from being able to reliably connect to your FTP site.

Windows XP has a folder called My Network Places which allows you to set up folders that are not on your computer, ie. folders on a network your computer is connected to or even an FTP site. However, when you drag and drop files, it opens a new connection to the server, while seemingly maintaining the current connection. Active Web Hosting's servers have a limit on how many connections you can have to the server on the same IP address. So when you use My Network Places for FTP, you may find that it can not connect to the server most of the time.

It is best to use a special FTP Program to upload your web site.