As we often get support cases on this topic, here is a whitepaper link which gives background info and self guidance for troubleshooting:

Brief Description
This whitepaper provides general as well as troubleshooting information on using the Explorer View of Windows SharePoint Services.

Overview
The Explorer View feature that is included with Windows SharePoint Services and is also available in Microsoft SharePoint Portal Server lets users access files stored in the SharePoint database using the familiar Windows Explorer interface. To the end user, this appears to be a very simple and robust feature. In reality, it is the result of a complex series of interactions between many individual components provided by separate Microsoft products.

This white paper is an effort to accomplish three things:

• Provide an overview of the Explorer View architecture.
• Document the causes and resolutions of problems you are likely to encounter when using the Explorer View in a corporate environment.
• Describe basic troubleshooting steps to be performed before engaging Microsoft Customer Support Services (CSS).

http://www.microsoft.com/downloads/details.aspx?familyid=c523ac7a-5724-48be-b973-641e805588f4&displaylang=en