First, locate the Windows Explorer shortcut. In XP, it resides under Start Menu -> All Programs -> Accessories. Right click on this shortcut and select Copy.
Right click on your desktop and select Paste.
Right click on the new icon and select Properties.
Under the Shortcut tab, in the Target text box, go to the end of the line of text and add a space, then /e,
Don't worry if there are spaces in the path you want to add. Explorer seems to handle the spaces just fine. So if you like to start in a folder called C:\My Downloaded Files, the Target line would look like "%SystemRoot%\explorer.exe /e,\C:\My Downloaded Files" without the quotes.
Now click OK. You can move or copy the icon anywhere you like such as the Quick Launch bar, or elsewhere on the desktop.