Create a File Explorer link for an intranet library

In your web browser go to your document library that you would like to see visible on your File explorer. 

Click on the Sync icon and allow it to open a program to save to your OneDrive

Open your file explorer. If you want to Pin it to your Quick Access (this then makes it right at the top of your list), right click the folder you just synced to the select Pin to Quick access

If you are a mobile worker, I would also recommend going one step further and keeping a copy on your device. It will always sync itself when you have internet connect, but if you don't, you can still get a copy of the latest version, work away on it, and when you are back with internet, it will automatically sync back to the library again. 

To do this, just right click on that library again, and find the option to Always keep on this device, and make sure it is ticked.