Bump. I also have the same problem.
I upgraded to IE 10. I can no longer connect to my Sharepoint 'Network Locations' using Windows Explorer.
If I try to click on one of my 'Network Location' directory folders I get the following error message:
(I am an administrator, therefore I know I have the highest permissions.)
This has been working perfectly for the past year we've been using O365. However I'm now forced to use the web-app to access my documents hosted in Sharepoint at the moment.
-Kyle