Sometime it can be useful to close Windows Explorer. For example when working with shell extensions or even if you make an installation and is asked to close explorer.exe.
Probably you open Task Manager, look for Explorer.exe and ends the process.
In Windows Vista the safest way to close Explorer.exe is to open the Start menu, hold down Shift and Ctrl, right click on an empty surface in the menu. That should give you a context menu with the option Exit Explorer.
To start Explorer again use Task Manager (you might need to use Ctrl+Alt+Del) and File>Run and enter explorer and it will start again.
If you have Windows XP it's still possible. It's a bit more tricky. Open the Start menu, select Turn Off Computer, press Ctrl+Alt+Shift and click on the cancel button in the shut down dialog box.
UPDATE: It works the same way in Windows 7.