Having a problem getting the Explorer View in SharePoint working, Microsoft has a service that needs to be running on your computer to facilitate that function. Make sure the WebClient service is started. Take a look at this KB article for more information (http://www.microsoft.com/technet/prodtechnol/WindowsServer2003/Library/IIS/844f5e01-4b9e-4dac-897e-2a0bb33f28af.mspx?mfr=true).
Note: This doesn’t seem to affect IE 7, another reason to upgrade. . .