It is possible to use the file explorer in Windows 7 to setup a cPanel ftp connection. The trick is entering the user details in a way that windows7 will accept. Its first dialogue box doesn't recognise the @ sign - but we can enter it in properly later...

Step 1:

FTP windows7a

Step 2:

FTP windows7b

Step 3:

FTP windows7c

Step 4:

FTP windows7d

More Info: