It sounds like you're using a third party firewall. explorer.exe wouldn't normally need to ask permission unless you had already restricted it or unless it is malware.
Note: The explorer.exe file is located in the folder C:Windows. In other cases, explorer.exe is a virus, spyware, Trojan or worm! Virus with same name: W32.MyDoom.B - Symantec Corporation and other...
Boot into Safe Mode
Right click on Start>Explore> Windows> scroll down on the right side screen and right click on explorer.exe> Propertied> make sure it's identified as 'Windows Explorer.'
If ID is OK, open Programs section of the firewall and reset access for explorer.exe.