Thanks for your time.
So when you right-click an object you get its right-click menu (seems obvious), and in my case, right-clicking the Start menu button will get me the Start Menu button's right-click menu - and the explore option will take you to an explorer window that displays the object (the Start Menu).
OK, so why would I want to change what happens? I'm short of real estate on the taskbar (my work requires me to have a bunch of windows open (Word, 2 or 3 Excels, 3 or 4 Client Access, Notes, 2 IEs, Outlook, IM, and I have 9 tasks in the right-hand side of the taskbar (I can't remember what it's called, and I can't get rid of them).
So real estate is at a premium! I wanted to use the explore option in the right-click menu of the Start Button for something else. I guess I can't. I've added a shortcut to windows explorer in the left side of the task bar - so I can easily launch and explorer that opens where I want it to. So I guess I'm done - at the expense of real estate.