If you receive this message in SharePoint when attempting to use the Explorer View option you should try enabling the WebClient service (see below image):
If you’re unsure of how to get to your Services list simply go to Start, Settings, Control Panel and open your Administrative Tools then click on Services. This may vary depending on whether you’re using XP, Vista or Windows 7 but it should be enough to get you going in the right direction.
If you’re using MOSS 2007 you may receive this message:
“Your client does not support opening this list with Windows Explorer”
If enabling the WebClient service alone doesn’t fix the issue check the following registry key:
Double click the AuthForwardServerList value and type in your servers URL and click OK, If you do not have that value then right-click and go to New – Multi-String Value and type in AuthForwardServerList. Then you can add your URL.
Then restart the WebClient service and retry the Explorer View
Hope this helps!