The download site for DokanSSHFS is here: http://dokan-dev.net/en/download/
Download:
DokanInstall_0.6.0.exe
dokan-sshfs-0.6.0.zip
dokan-sshfs-0201226.zip
Microsoft Visual C++ 2005 SP1 Redistributable Package
(I can't post all the links, since I am a new member)

1) Unpack the zipped files into separate directories. Install the Microsoft Visual C++ 2005 SP1 Redistributable Package first.

2) Run the DokanInstall_0.6.0.exe to install the Dokan libraries.

3) In the dokan-sshfs-0201226 directory, run the installer to install the older 0.2 version. This is necessary because the 0.6 version does not have an installer. This will probably ask for a reboot.

4) From the 0.6 unzipped directory, copy (overwrite )DokanNet.dll and DokanSSHFS.exe in the installed location, C:\Program Files\Dokan\DokanSSHFS.

5) Start the Dokan GUI from the desktop Icon or from Windows Start. Everthing is pretty much self explanatory:

Host: N9ip
User: User
Password: xxxx (I haven't figured out how to use the "identity" yet)
Server Root: /home/user/MyDocs/share
Drive: N

Oh, I forgot to mention in my first post. You might also be interested in using VNC. This allows you to have your phone interface as a window on Windows or Linux. The VNC server is on the Nokia shop for free called "Netview." VNC clients are available for Windows and Linux called vncviewer. This is nice if you are configuring something on the phone with a GUI, but want to use a full size keyboard to type in the text fields on the GUI. Just start Netview on the N9, and use "vncviewer N9ip."

Have fun!