GPO setting that affects explore when right click the Start Menu

You should use the RSOP wizard in planning mode to see what policies are being applied, you will find the culprit pretty quickly.

http://support.microsoft.com/kb/323276

Thanks for the quick response. That tool was useful in seeing what was applied for a specific user as I required, but still couldn't find a setting that looked like it would affect that property.

Have you looked at the local security properties on the machine?

Did you see any start menu restrictions in the RSOP for that user?

MORE ON THE ISSUE:
Never really use it, but right click Start Menu -> Open is also restricted.

DFXDEIMOS RESPONSE TO QUESTIONS:
#Have you looked at the local security properties on the machine?
Not sure where you mean I should be looking. In GPO "Comp config/Win Settings/local policies/security options" only restrictions for CD and Floppy drives and no last username display are set.

#Did you see any start menu restrictions in the RSOP for that user?
These are the two areas of the User Configuration that I thought might contain a restriction, but none of the settings look like they should affect this.

Administrative/Windows Component/Windows Explorer 
    Remove Network Drive and Disconnect Network Drive 
    Hides the Manage item on the Windows Explorer context menu 
    Hide these specified drives in My Computer 
    Prevent access to drives from My Computer
    Remove Hardware tab
    No Computers Near Me in My Network Places
    No Entire Network" in My Network Places

Administrative Templates/Start Menu and Toolbars
    Remove links and access to Windows Update
    Remove common program groups from Start Menu
    Remove Network Connections from Start Menu
    Remove Help menu from Start Menu
    Remove Run menu From Start Menu
    Remove My Music icon from at Menu
    Remove My Network Places icon from Start Menu
    Add Logoff to the Start Menu
    Remove and prevent access to the Shut Down command
    Remove Balloon Tips on Start Menu items

By local security policy I mean right click on my computer -> manage -> local security policy. Policies are applied in the following order: local, site, domain, ou. So if a policy is defined on the local level and not overriden by anythin at the domain level it will still be in effect.

Try temorarily unlinking the GPO from whatever is applying it to that machine, then do a GPUPDATE /FORCE on the machine and see if it is accessable then. If yes then it is the GPO. If no then it is something on the local level (unless there is another GPO somewhere applying to it also, which you would see is RSOP).