Yeah, it's probably best to leave Explorer running, that way you can access the following whilst in WinUAE:
CD/DVD drive
USB Memory sticks (just discovered that this week)
Any attached printers
There's probably a few other things too, but I mainly use WinUAE to get my AMOS Basic programming fix. I do occasionally play games and other stuff too, just not right now.
BTW, I am currently running WinUAE 1.44 (was going to upgrade to 1.5 tonight, but the site appears to be down).
Regards,
Lonewolf10