Well that should be the default prompt. Not kicking me out to the apps menu. I'll see what I can figure out when I get home. I have windows explorer pinned to the task bar but it boots me out of desk top when I try to open it. I've been searching files to get to my media. I've never seen such a waste of time.
Here is my setup. Notice I have the libraries or windows file explorer folder lower right task bar. That's how I access all my media and documents as well as control panel and some other locations I dropped into the favorites location. Plus all my disk drives our there as well, including SD cards when inserted.
Once you get it setup so your file explorer icon pins to your task bar and opens correctly (not sending you out of desktop mode) make sure you have the navigation pane showing.
Then customize your navigation pane to fit your needs.
File explorer should open up as shown in the picture. If not unpin it from the task bar. Go to search mode (bottom right corner then magnifying glass from slide out menu) and search for libraries. Open it and when opened it will show on your task bar. Right click and select pin to task bar.
You could also do the above but search for your computers name, mine is my first and last name, and a folder will show up. That will have the same screen as the libraries screen. The difference is you should be able to drop all your programs/locations in that folder vs. using the favorites menu in the navigation pane. This would come in handy if you didn't want your task bar clogged up with pinned program and location short cuts.
Hope this makes sense and helps. Once you get it setup you should never have to be out of desk top mode unless shutting down or restarting, or performing other system related tasks.