Draft Folder Mystery

Official
http://office.microsoft.com/en-us/windows-sharepoint-services-help/sharepoint-document-libraries-ii-all-about-checkout-RZ010234545.aspx?section=6

More Reference
Issue when using "my local drafts folder" upon checkout
http://social.technet.microsoft.com/Forums/en-US/sharepointadmin/thread/a6a72964-9924-494e-bea5-bf337d6d3a42/

”Some files can be harmful to your computer” error message
http://www.office-outlook.com/outlook-forum/index.php/m/649159/#msg_649159

Checked Out file is not appearing inside “SharePoint Drafts” folder?
http://sharepoint.stackexchange.com/questions/24969/checked-out-file-is-not-appearing-inside-sharepoint-drafts-folder

Remove the Dialog Box
http://sharepoint.stackexchange.com/questions/10831/how-do-i-disable-use-my-local-drafts-folder-by-default