Apparently, since Windows Vista which I am blessed to have never used, by default you can not connect to the shared devices, folders, etc. if you have no password set on your machine. Thankfully, there is a workaround to this as its defined in the group policy - and here is how you can edit the group policy:
1) From the Start menu, go to 'Search' or 'Run' and type gpedit.msc
2) Go to -> Computer Configuration -> Windows Settings -> Security Settings -> Local Policies -> Security Options
3) Double-Click on the 'Accounts: Limit Local Account use of blank password...' and select Disabled
Thats it!