Hi Steven,
Please try the following to check the outcome:
1.Start Internet Explorer.
2.Depending on your version of Internet Explorer, take one of the following actions:
a.Click the Tools menu, and then click Internet options.
b.Click the gear icon, and then click Internet options.
3.Click the Security tab, click Trusted sites, and then click Sites.
4.In the Add this website to the zone box, type the URL for the SharePoint Online or OneDrive for Business site and the Open with Explorer URL (which uses a -files or -myfiles format) that you want to add to the Trusted sites zone, and then click Add.
For example, enter https://contoso.sharepoint.com and https://contoso-files.sharepoint.com for a site. Or, enter https://contoso-myfiles.sharepoint.com and https://contoso-my.sharepoint.com for a OneDrive for Business library. (Note: In this example, contoso
represents the domain that you use for your organization.)
5.Repeat this step for any additional sites that you want to add to this zone. To make sure that Open with Explorer works correctly, you must include the SharePoint site URL or the OneDrive for Business URL in addition to the "-files" (for a site) URL or
the "-myfiles" (for a OneDrive for Business library) URL.
6.After you have added each site to the Websites list, click Close, and then click OK.
Regards
Fraser