R help - Sep 2012 - Setwd to a directory that requires authentication

I work at a company where we log on to windows using a username and
password.  There is a global server with files that I need to use R to do
some analysis on.  That server requires my windows credentials to logon.
When I access the server from internet explorer it automatically uses my
windows credentials to logon.  When I use R it doesn't work.  I have tried:

setInternet2(TRUE)
con = url(description="http://username:password@server.net",
open="r")
open(con)

which gave me a timeout error.  I have also tried:

setwd("\\\\server.net")

which gives me the error:

Error in setwd("\\\\server.net") : cannot change working directory

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