By default, Windows Explorer opens up in either "My Computer" or "My Documents", I cant remember since its been that long. In Windows 7, it goes straight to your "Libraries" folder.
I find it much more useful if it went straight to a drive of my choice since I know exactly what I want without all the fuss.
To do that, either edit the shortcut or create a new one and set the location to:
That will automatically open it up to D drive. Change that and it will open up any (valid) drive you want.