It's not native to NT, so you have to get a third-party product. There's quite a few. We use one from Intergraph. It comes two ways. There's a client product (DiskAccess) and a server product (DiskShare) and the server includes the client. It works fine for us.
The DiskAccess client also includes a bunch of other utilities like a Windows FTP client, a NTP client (for synchronizing system time on systems) a DNS query tool, etc.
Damn, I miss VMS. Best OS I ever used. We almost bought a package that let you write DCL-style command files on NT because I wanted my F$ functions!