1. On the RDS server or collection, add the RemoteApp from c:\windows\explorer.exe.
  2. Right-click on the explorer RemoteApp and edit the properties, select "Always use the following command line parameters" 
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  4. Make sure you select "Always use the following command line parameters"
  5. Use the  \\fileserver\foldershare or any other location and it will open Explorer.
  6. Click Ok