Run regedit and go to the following key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\
MountPoint2
Under there, create a new key for the drive letter of the disconnected drive, so it appears as a subfolder under MountPoint2. You'll see other folders for things like the A, C, and other local drives.
Under that new key, create a string called BaseClass and give it a value of Drive.
Exit the registry and reboot the machine. You will now be able to disconnect that network drive once and for all. I've experienced this problem and it appears to be a bug in how Windows maps drives and the credentials it passes along. If you had a mapped persistent network drive when the machine was not joined to a domain, and then joined the machine to a domain, what happens is that it's still trying to authenticate using the old non-domain credentials, thus showing a disconnected drive. Yet, when you double click on it, you have access.