I've a number of Server 2008 and 2003 virtual machines running on vSphere 4.
When using Windows Explorer on any of them, it runs very slow, e.g. 60 seconds + to change a folder. These folders are also shared, and browsing them from the clients over the network is perfectly fine.
It's doesn't matter if I use vSphere Client to access the VM's, or MSTSC, Windows Explorer runs very slow.