OS X uses the Samba free windows network server to connect to shared Windows drives. This runs always, so when you connect to a local area network (LAN) that has windows systems with shared resources on it, you will see the share names in your Finder left pane options, under 'Shared', but you will not access them if they require a password, which any proper windows network should require.

If you click on them and NOTHING happens, no message, no dialogue, have no fear, this is yet another example of Apple FAILING to offer user friendly help.

So how do you connect? No right click action seems to work, it just sits there, blank, no message.

But very subtle, note in the upper righthand corner of Finder, you see 'Connect As..' button. Click that, and the expected Network Login tool window appears, then login as an authorized username/password, as expected, and then you'll be able to access the share.
Back to top