The Explore Files menu item is simply a shortcut to your open SafeHouse volumes.
You can have any number of volumes open at a time, each represented by its own Windows drive letter. When volumes are open, you'll see a sub-menu listing each open volume and its corresponding drive letter. Clicking any of those items launches Windows Explorer to show you the contents of the drive.
You can see the same information in your standard Windows drive list typically found in the My Computer window.