I would recommend using Task Scheduler to have explorer.exe start a minute or two after you login: https://windowsloop.com/delay-startup-programs-with-task-scheduler/
@dingodan: I'm having the same problem, is there a specific folder location that the script is looking for? I have my ROMs in a directory outside of my Launchbox folder:
E:\
∟ Launchbox
∟ ROMS
...
My output is on a different drive, as well.