I have the same issue. I've finally gotten it to recognize a valid webdav site, but it says I don't have permission. Is this a problem with Zotero or Skydrive, and do we know if it will be fixed after it's out of beta. The Report ID I get is 581382410. If anyone knows anything I'd appreciate it.
i was excited about this idea, too, until i found out there is a 50MB size limit on individual files. if that's not a problem for you, this might be of some help.
http://solidworksheard.com/blog/2010/5/19/skydrive-and-webdav-and-explorer-oh-my.html