SharePoint Library Icon in File Explorer

So I have been looking around for this, and my users are asking to have to in there File Explorer. So right now I have users see there One Drive for Business in File Explorer. Now they want the SharePoint Library folder also to show in File Explorer. This way they can access to the folder and files directly on File Explorer. So I have search around, I am not sure how to get this on the desktop to show as a SharePoint Icon with access to the SharePoint folder library. I have include an image I found with S icon for SharePoint, of what I am looking for. So some docs on this or even a video showing this would be great, thanks everyone!