Nested explorer option is normally disabled in Windows Explorer. You can enable this option from Windows Explorer. Goto Tool>Options and select the option "Open each folder in its own window", click OK.
Now goto your desktop. Open My Computer>C Drive>Windows folder>System folder etc. You will notice that instead of opening the folder in the same window, a new window is opened for each folder. All these Explorer windows form a set of nested windows. You have to close each of them manually.
However, if you press Shift while closing an Explorer window, all the parent windows belonging to the same nested set will also close.
For instance, in the above example, if you hold down Shift while closing the "System" folder window, the parent windows in the hierarchy, (My Computer>C Drive>Windows folder) will also close automatically.
This is what cas20002000 is talking about.
By the way, note that nested Explorer window option is not popular as it rapidly clutters your desktop with too many windows.