Kinda like a bridge, kinda.
It's where you can access your various harddrives, but it's not a point where you can save stuff.
Like a fork in the road, in the middle of the fork, you have three ways to go, much like My Computer, which gives you a way to go for each harddrive.
That's a horrible analogy, but I hope you understand.
When I installed Resident Evil 4, I just threw it in a folder called Resident Evil 4 on the harddrive that had the most space.