"Your client does not support opening this list with Windows explorer."
I am accessing my SharePoint site using the Windows Server 2008 with IE8. On further investigation I found that Explorer view of a SharePoint document library uses the WebDAV protocol. The WebDAV client is not installed nor enabled by default on Windows Server 2008 R2. To use this feature we need to install Desktop Experience feature and then we need to make sure that the WebClient service is started.