No, it doesn't change the explorer. You can use an alternative explorer or skin the look of your desktop so that it changes the look of the explorer. You can download visual styles at places such as deviantart to skin the look. However, with most visual styles, you will need to patch your windows file for it to allow 3rd party visual styles.
There are also alternatives such as bricopacks, transformation packs, and others that can also do that, but it changes everything from icons and such; so if you aren't looking to take that router, you can go the visual style route. Lastly, there are also windowblinds and etc. that can do the same, but require that you run their software everytime.