Should I allow this?

Should I allow this

This message pops up every time I open my documents folder or anything related to explorer.exe that I open. I have denied it once to see what what happen and firefox would not connect until I allowed the warning. This happens with opera and IE too. Is this safe at all?

Yes. Assuming your explorer.exe is the official one and now malware in disguise, this is the Windows shell that is the main parent executable file for almost every program. You can check this by click on each Application Monitor rule.

Regarding OLE Automation:
** FAQs/Threads - Read Me First **:

[b]OLE Automation Alerts[/b],4728.msg35532.html#msg35532,4875.msg36088.html#msg36088,5207.msg38857.html#msg38857

CFP would’ve alerted you on this before as well, but it didn’t because it was covered by CFP’s list of certified applications. The current safelist database does not contain the new explorer.exe. Its version was updated when you installed the Windows Updates patch. Come v3, such alerts will not appear again.