The original Windows Explorer command was a .scf file rather than a shortcut to explorer.exe. It used to be in he windows system directory, but it isn't installed in XP as standard. To get it back, open notepad and copy the following without the ">" into a file and rename it to Explorer.scf
Make sure you don't have the extentions turned off, if you do, follow this tweak... http://tweakxp.com/tweakxp/display.asp?id=68
That should give you the old style Windows Explorer Icon that openes to your hard drive instead of "My Documents"