Hidden on the AExplorer support page:
Users of the GENESiS TCP/IP software as distributed in the "Amiga OS 3.9" package may have all ports from 0 to 1023 blocked by default ("$ *.*.*.* deny LOG" line in "AmiTCP:db/inet.access" file). To allow Amiga Explorer to access port 356, add a line with "356 *.*.*.* allow LOG" before the line blocking all other ports (lines are processed top to bottom). Please note that this file is usually generated automatically by the Preferences tools which are normally included with GENESiS. If you change the settings using such a user interface make sure that in that tool too port 356 is granted access, or else verify that the inet.access file still grants access to port 356 after you save the settings. Thanks to GENESiS author Tomi Ollila for his kind help in this issue.
Also make sure the passwords are the same on the Windows and Amiga, and that the Windows configuration is pointing to the correct IP address for the Amiga.