I see the same thing in mine - I suspect you are correct in surmising that Explorer is responsible. I have 2 XP machines & a Win2K machine all producing regular entries in my http error logs.
[Mon Dec 15 09:57:36 2003] [error] [client 172.16.1.25] File does not exist: /home/e-smith/files/primary/html/nick
[Mon Dec 15 10:32:26 2003] [error] [client 172.16.1.55] File does not exist: /home/e-smith/files/primary/html/rhiannon
[Mon Dec 15 12:11:17 2003] [error] [client 172.16.1.20] File does not exist: /home/e-smith/files/primary/html/wpad.dat
.. and so on. The first 2 are XP machines, the third is W2K
Nothing to worry about

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