Yes, it is true, in my Windows XP with IE8 I simply cannot work with the Explorer View in a document library, the message is : “Please wait while Explorer View is loaded. If Explorer View does not appear, your browser may not support it.“.
It seems this is a known issue and it only happens in certain environments.
Update !!! : There is a workaround that you can use, in the Document Library -> Actions -> Open With Windows Explorer this will open a new Windows Explorer window that is in reality a web folder to the Document Library.