I am getting this message and don,t know what does it mean and what should I do. As I know windows explorer should not contact to internet but I am not sure.
You are probably using the Windows search function when this alert occurs. Windows Explorer does not need internet access.
Hi Aigle, Which version of KIS are you using, the technical release or the beta version 6.0.1.311? If you are using the beta version, there are still lots of bugs.
It means that "Explorer" is attempting to make an outbound connection to sa.windows.com (microsoft), the alert is telling you this, and your firewall wants to know if you want to allow this connection or not. If you select "o.k." in the "create rule window" as it is being shown in your post, this will give "Explorer" a ruleset, the same as your browser (Iexplorer, firefox etc), and would mean that "Explorer" would be able to connect to microsoft any time it wanted to while you had an open connection to the internet. As already mentioned, explorer does make this connection attempt when you start a search of your computer, it is not required, but in the end, it is up to you if want to allow, or block this connection.
It's May now... I wonder when the bugs will be gone in KIS... Otherwise they can better name it a 2007 version...