See attached for images
Open Internet Explorer
Hit the Gear Icon in the upper right hand corner
Go to Security Tab
Highlight Trusted Sites then hit the Sites Button
Add https://lkeeley.sharepoint.com to Trusted Sites
Hit Close > Apply > OK
Open the Document Library in Sharepoint that is needed to Open within File Explorer & copy the URL
Open File Explorer then Right Click and hit Add a Network Location
Hit Next
Hit Choose a Custom Network Location
Hit Next
Paste the URL from earlier
Hit Next
Type a Name that is easily recognizable
Hit Next
Hit Finish (Make sure the Open after I Hit Finish Check Box is checked)
Right Click Quick Access or Favorites in File Explorer and hit Pin Current Folder