When you get to that stage, click the "Browse" button in the lower right corner. in the dialog box that pops up, navigate to C:\Windows and select the Explorer.exe file.
Note the path is C:\Windows...the dialog box will come up with a path that might not be correct so you'll have to change it manually.
Crazy...So I am using Windows 7. I click open with, there is not a "choose default program" option but there is an "select other program" option and I choose that and there is no "windows explorer" option.


