We have had users report the inability to open a document library item in SharePoint 2007 using the "Actions" -> "Open with Windows Explorer" option. We use Windows 7 OS and Office 2010.
You have to use 32-bit Internet Explorer to get this option to work correctly. The reason, as I understand it, is that it relies on ActiveX controls that are not available in 64-bit flavors.
If you go to the start menu and type 'internet explorer' in the bottom text box, you should see 2 shortcuts. One of them says "Internet Explorer (64-bit)". Make sure you do not use this one to launch IE.