Just a minutes ago I came across this whitepaper: Understanding and Troubleshooting the SharePoint Explorer View

Explorer view is one of the features that causes more user complains, the main point about it is that needs the Web Client service running on the client machine and it is not always running, so it might cause trouble.

I’ve seen also problems with IE8 not displaying it, in my VM setup (Windows 2003), I managed to get it running by:

• Making sure WebDav is enabled in IIS.
• Making sure WebClient service is running in the client machine. Please make sure you run windows update on the clients, this service has suffered from some important vulnerabilities.
• Upgrading WSS and MOSS to Service Pack 2.

Hope it helps.