The message pops up about 5 or 6 times before the explorer window opens.The drive or network connection that the shortcut '' refers to is unavailable.
To replicate:
Open a ditamap in the editor
Right-click a topic and select Insert After/Insert Before/Append Child > Topic Reference
This issue has happened with two of the 8 people on our team. It was originally on our installation of Oxygen 20.1 and carried over to 21.1.