When a published application such as Explorer is started, it closes instantly.
Please note: this can also apply to many other applications that exhibit this behavior and not excluded to just explorer.exe.
This is a built-in timer in Terminal Services which dictates if a session is not fully launched before the timeout.

Notes:

• Microsoft does not recommend using Explorer.exe as a published application. Because, the published Explorer.exe application runs as a separate process with a restricted access to the desktop.
• The method of copying and renaming the Explorer.exe for example, Explorer2.exe is a widely used method. It is not recommended or supported by the Citrix Development Team. The session becomes unresponsive or slow when starting several instances of the renamed Explorer2.exe. These issues are the result of internal Explorer.exe dependencies that cannot be resolved without rewriting a large parts of the operating system kernel.

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When a Windows Explorer is published, it must be similar to publishing a Hosted application shortcut to C:\Windows\Explorer.exe with a parameter of the drive letter or the default path.

In this example, the h:\ drive is used.

To resolve the issue, create a DWORD (32-bit) setting called LogoffCheckerStartupDelayInSeconds with value 10 in the following location:
Caution! Refer to the Disclaimer at the end of this article before using Registry Editor.

Note: 
The registry setting written above doesn't work anymore in CVAD7.15 and later.
You need to configure via Policy [Logoff Checker Startup Delay] in CVAD7.15 and later.

This article provides a workaround for the issue when a Published Explorer.exe closing instantly when started.

CTX128009 - Explorer.exe Fails to Launch
CTX133835 - Published Explorer not Visible in AppCenter Console
CTX922603 - How to Publish Explorer.exe with Specific Drives, Folders, or URLs