I wouldn't say this was a secret either. And actually, Internet Explorer worked the same way until version 7. It has pretty much always been built into windows, then they pulled it out of IE, but luckily left FTP capabilities with the Explorer(since they haven't really made a new version.... ever).
The one thing that I'm pretty sure is this is probably one of the least secure ways to access an FTP server. Someone correct me if I'm wrong there. Also, for the comment about entering special characters. You do realize that you don't have to log in to an FTP server that way. Simply type the FTP server address(ftp.thiswebsite.com) and you will end up with an anonymous login, and from there your 'File' menu with have a 'Login As' option so you can enter your information(and choose to remember it). But once again, I think this is probably the least secure way of accessing an FTP server.
And what happened to 'Secrets in Win XP'? Only one secret(if you want to call it that) posted here. So lets start that back up.
if you right click on your desktop or in windows explorer and create a new text file(any name), then open that and type in something like "this app can break", save it. When you open it back up you get a surprise. Truth is it is some weird thing to do with encoding. Entering a string with the letter pattern of 4 3 3 5 in notepad always acts up and changing the encoding, so you see boxes or whatever.
Or if you right click your task bar(the big bar at the bottom(unless you moved it) where are your programs are listed) then you have a toolbar called 'Desktop'. This adds a menu that will show all your desktop icons and allow you to browse your entire computer without having to open up the start menu or My Computer. Useful to those who want to get to files quickly without having to open up My Computer, then browse for the file.
Also, while in this area, rather than give the 3 finger salute(Alt + Ctrl + Del), you can right click your task bar and there you will see 'Task Manager'. How helpful.
Also, in your 'Control Panel', go under the 'Accessibility Options'. There you can use the 'Mouse' tab to set the 'MouseKeys' option. With this, you can control your mouse with the numeric keypad(when NumLock is on). Helpful for when your mouse is broken, or something went wrong with it, or it is missing, etc. And hey, maybe some people just want to use it.
Hopefully one of those 'secrets' is useful to someone.