If you want to permanently mount the remote directory you need to edit the local machine's /etc/fstab file an add a new mount entry. This way when your system boot up it will automatically mount the remote directory. To mount a remote directory over SSHFS from /etc/fstab , use fuse. sshfs as the filesystem type.
Back in 2002, Novell developed some software called NetDrive that can map a WebDAV, FTP, SFTP, etc. share to a windows drive letter. It is now abandonware, so it's no longer maintained (and not available on the Novell website), but it's free to use. I found quite a few available to download by searching for "netdrive.exe" I actually downloaded a few and compared their md5sums to make sure that I was getting a common (and hopefully safe) version.
Update 10 Nov 2017 SFTPNetDrive is the current project from the original netdrive project. And they made it free for personal use:
We Made SFTP Net Drive FREE for Personal Use
They have paid options as well on the website.
Dokan looks like a FUSE and sshfs implementation for Windows. If it works as expected and advertised, it would do exactly what you are looking for.
(Link updated and working 2015-10-15)
The best an easiest solution I found is https://github.com/billziss-gh/sshfs-win, connected servers shows up as a fully functioning network drives. This is not a 'Dokany' or 'dokan' based solution which from experiance seems more stable and performant, also see WinFsp Performance Testing.
Please note previously this answer stated, https://github.com/Foreveryone-cz/win-sshfs and before that http://www.swish-sftp.org/ but I no longer use any of them, first one stopped working second one created drives not fully supported in all programs.
Another, more Windows-y option (for $39) is http://www.expandrive.com/sftpdrive
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