My roomate's PC prompted me with this question, and I'mreally not too sure what I should tell it. This happened when I accessed the My Network Places folder. Now, I'm fairly old school when it comes to my knowledge about this stuff. Most of my knowledge comes from a time when "end every process that isn't Explorer" was an acceptable troubleshooting step. Or (and this is what sets off these sorts of alarms these days), "system files do not need to access the internet." How true is that latter statement today? Is Explorer's desire to go online still something to be concerned about?
You should grant it access. When you access Network Places with Windows Explorer, it tries to access computers in the local network, therefore it triggers your firewall. System files DO access the internet nowadays.