I have lived with the sharepoint explorer link prompting for many years, but found the solution below. Oh joy.....
Windows 7 | The SharePoint Project: "1. Click Start, type REGEDIT in the Start Search box, and then press ENTER.
2. Locate and then click the following registry subkey:
make sire the sites you add start with http:// ie http://your sharepoint site.
Other blogs say you have to put the entries in twice.
Then goto services and restart the web client service.
Hey presto - it works.... (or at least should... and did for me)