This is an older thread, I know, but I figured the info. might still be useful. I no longer live in Windsor, but when I did, I shipped to www.detroitmailbox.com numerous times. It is about 5 mins. tops across the border if you take the tunnel. I just would use their "Notify Us" service on their website when I had a package headed their way and they would email when it arrived. There was one time that they didn't notify me (out of about 10 pkgs. I shipped to them), but when I called to check on the pkg. the woman there was very apologetic and found the pkg. quickly and without a problem. Whenever I went to pick up pkgs. I was in and out of the building in 5 mins. easily.
Now I live about an hour and a half NW of Ottawa so I'm going to have to look at new options for shipping to the US and I'll have a much longer drive, so I'm sure I won't be shipping to the US as often anymore. I was checking out online myusaddress.ca or shipme.ca in NY, but haven't tried either yet. When I was only a 15 min. drive from the border it made so much more sense to ship many online purchases to the US, but now with it being about a 3 hr. drive, it would have to be really worth my while.