First, you need to configure your SharePoint Online tenant to enable the Explorer View.
To do it, you need to run at least the version of the SharePoint Online PowerShell modules (you can download the latest version (16.0.21812.12000 at the time of writing this post) here https://www.microsoft.com/en-us/download/details.aspx?id=35588
Then you can run the below commands to connect to your SharePoint tenant and enable the Explorer view
Connect-SPOService -Url https://<your tenant>-admin.sharepoint.com
Set-SPOTenant -ViewInFileExplorerEnabled $True