Basically you need to have a service showing up in services.msc called "WebClient" and it needs to have the startup type set to "Automatic".
On the Windows 2012 server this came up on, that mean first going to the server manager "add roles and feature" wizard and then skipping (next, next) past the roles screen until you're at the add features screen. In there, go to User Interfaces and Infrastructure and add the Desktop Experience. You will likely need to reboot afterward and then go into services.msc and set that startup to automatic.
