The first list of drive is all the drives connected to your system. The second drive list is Max-FTP Session drives, which means the drives in this list are connected while you're using Max-FTP, and disconnected when Max-FTP closes.
To add session drives click Add and you will be prompt with the dialog below. Enter the share name and choose a drive letter to mount the share name on (see below). Then click the OK button. You will then be prompted to enter a user name and password for the share.
To remove a session drive, simply select the drive from your Max-FTP Session drive list and click the Remove button.