I connected to my SkyDrive and then uploaded a test folder. I chose the SkyDrive option and logged into my Microsoft Windows Live account.
Since the only SharePoint I use is associated with my Air Force work, so I won't be testing it here, but I do have a SkyDrive account (a complimentary 7 GB is available with every Microsoft Live ID, with upgraded storage amounts available for as little as $10 per year).
Open up Document Connection and you're presented with two options for connecting your computer: you may connect to any Microsoft SharePoint that has a public URL, or you may connect to a Microsoft SkyDrive if you have the login and password.