Going to summarize the problem I had and what I've done to try and fix it. If it matches yours you are welcome to chime in with other tests, and if I find a solution I will post it.
First, I have a Windows File Server and am trying to connect from a Mac running OS X 10.07 (Lion). I just upgraded this afternoon, and so far there has been a mixed bag of likes & dislikes, this is one of the dislikes and appears plain as day to be a new bug in OS X with no documentation.
The server is working fine, two other computers on the network could connect and not 13 hours before Snow Leopard on this machine was using it to backup files.
I use the connect-to option in finder, with a standard line:
smb://server/share
This gives me a big fat "There was a problem connecting to the server" error, which says I don't have permissions. Funny, because I never entered any permissions, it didn't let me.
I tried entering just the server without the share, and it displays a list of shares on the system (I had never tried it before, so not sure if that's new), but as soon as I select one I am met with the same error.
The Problem:
The "Connect To" option is not asking you for your credentials, former iterations of OS X would ask if you were a guest or registered user, and would prompt you for a username and password. Hence one solution is to add your username and password as a user with access rights to the system managing the file sharing (If the folder is shared by username and not a group you have to add the user, otherwise you need the new user to be a member of the group with shared access rights).
Obviously adding a new username per machine/user is an unacceptable solution for a business environment, and I doubt it would work on systems with domains (like me@company.org), only for computer name or ip address.
It's quite possible we simply aren't "doing it right", which is to say maybe there is some way to specify alternative credentials, but I spent three hours scouring for documentation and couldn't find any from apple or elsewhere.
At one point I got lucky and spotted my system in finders Network>All..., and was able to access using the "connect as" setting in there, but now it isn't displayed so probably not a reliable workaround.