Right click the Taskbar and choose Task Manager, select the Start Up tab and see if there is any mention of File Explorer there. If so, right click it and choose disable.
Additionally, you might want to look at Task Scheduler and see if there is a reference to File Explorer there.
Start Button -> All Apps -> Windows Administrative Tools -> Task Scheduler -> Task Scheduler Library
AND
C:\ProgramData\Microsoft\Windows\Start Menu\Programs\StartUp it may be listed there
OR
C:\Users\YourUserName\AppData\Roaming\Microsoft\Windows\Start Menu\Programs\Startup it could also be there