The feature is called WebDAV. It comes with some risks though. In my experience it works great for doing exactly what you mention, copying files from the repository. You can also open documents in their native application, but this is where I ran into problems with it effecting the Laserfiche services for other users. I don't think the two were meant to be used in conjunction for working with files, so try to stick to just copying.

https://www.laserfiche.com/support/webhelp/Laserfiche/10/en-us/administration/Default.htm#../Subsystems/LFAdmin/Content/WebDAV_Configuration.htm