Hello Nancy,
I followed your instructions, line by line. Still unable to connect.
See below a series of screenshots.
1. I logged into O365 (clicking Keep Me Signed In along the way).
2. I navigated to the SharePoint directory that I wanted a Mapped Network Drive for.
3. I copied the URL.
4. Right clicked My Computer. And Selected Map Network Drive.
5. Clicked "Connect to a website that you can use to store your documents and pictures"
6. Pasted in the URL from above. Stripping the "Forms/AllItems.aspx" off the end of the URL in the process.
7. Clicked Next. Resulted in the following Dialog Box.
8. Tried again. This time removing the "/" off the end of the URL (just to test if that might work).
9. Same result.
The rest of our office connects fine using the instructions you've outlined. The only difference is that I have installed IE10. The other users in this office are still using IE9 (some even using IE8).
Regards,
Kyle Garrett