Your client does not support opening this list with Windows Explorer is an error I see popping up a lot of times. What can you do to fix it?
If you are using IE6:
http://support.microsoft.com/kb/325355/
If you are using IE7 OR IE8
Vista, Windows Server 2003, XP : http://www.microsoft.com/downloads/details.aspx?FamilyId=17C36612-632E-4C04-9382-987622ED1D64&displaylang=en
