After SBS 2008 rollup update 2, SharePoint experienced a few issues. One caused docs to open in read only mode, the other caused the Windows Explorer integration and other features to disappear. The SBS support team blogged about it here. The fix is easy to do:
1. Open SharePoint 3.0 Central Administration.
2. On the Central Administration home page, click Application Management.
3. On the Application Management page, in the Application Security section,
click Authentication providers.
4. On the Authentication Providers section, click on Default (or relevant)
5. Under Client Integration, change option to Enable Client Integration to
Yes and click Save.