Add a shortcut to OneDrive
You may already use your OneDrive in Windows File Explorer.
Using files from a SharePoint site in File Explorer is slightly different.
If you currently have File Explorer open, close all open windows
Open the SharePoint site you wish to view
Click Add shortcut to OneDrive
Follow the instructions
Open File Explorer, your shortcut should appear under your University OneDrive
Verify at your OneDrive page https://universityofcambridgecloud-my.sharepoint.com/ and it should appear: