In Windows 8, they have changed it to File Explorer.
Sort of makes sense since Explorer is also the shell that creates the taskbar, start menu, etc., which they tried to hide on Win8 to force users to use Metro instead of Explorer's traditional desktop and start menu.
@Homer6, note that they are also two completely different programs. Windows Explorer is "explorer.exe" and is found in the base of the Windows directory. Internet Explorer is in the "%ProgramFiles%\Internet Explorer" folder. Also, on x64 systems you have two versions of IE. A 64-bit version in "C:\Program Files\Internet Explorer" and a 32-bit version in "C:\Program Files (x86)\Internet Explorer".
Windows will not run without Explorer unless you set it to use a different shell. If you kill explorer.exe with the Task Manager, all of the desktop icons and the task bar will disappear as well as any open folders and any programs running out of Explorer will close.
When Windows 98 introduced the "Active Desktop" there was an attempt to merge the two, but there were some serious objections to this from a large number of users and it opened up security holes in the OS, so the Active Desktop was abandoned.