After some frustration with Office 365 “Open in Explorer” giving these unhelpful errors:
Your client does not support opening this list with Windows Explorer
We’re having a problem opening this location in File Explorer. Add this web site to your Trusted Sites list and try again.
We’re having a problem opening this location in File Explorer. To open with File Explorer, you’ll need to add this site to your Trusted Sites list and select the “Keep me signed in” check box when you sign in to the SharePoint Online site. For more information, see http://support.microsoft.com/kb/2629108.
I found a KB Article that has a hotfix to fix this issue: