With me, file open in Excel will launch Explorer.
For your info: when using recent locations within Excel 2010 one will get a window something like the below.
again, just fyi.
Obviously running gpedit.msc->User Configuration->Admistratieve Templats->Start menu and taskbar
then Enable "Donot keep history of recently opened documents", will clear the list of recent documents,
which as said, I donot like, but then again, I donot links be visible on the C-drive either.
Maybe, one day in future, MS will allow a relocation of the recent file list..