Windows doesn't allow to create a shortcut of the File Explorer by using the drag and drop method. So if you drag the File Explorer icon and try to drop it, it will not work. Instead, you need to create the shortcut manually. Right-click on Desktop and select New Shortcut. Type explorer.exe in the path and save it anywhere. Next time you click on it, it will launch File Explorer. Also, notice that the shortcut icon will have the icon as the Windows File Explorer.