Quick fix:
1. Open Registry Editor
2.Locate and then click the following registry subkey:

HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\WebClient\Parameters

3.On the Edit menu, point to New, and then click Multi-String Value.
4.Type AuthForwardServerList, and then press ENTER.
5.On the Edit menu, click Modify.
6.In the Value data box, type the URL of the server that hosts the Web share, and then click OK.
    e.g.

https://*.Contoso.com
http://*.dns.live.com
*.microsoft.com
https://172.169.4.6

7.Exit Registry Editor.
8. Open Control Panel > Administrative Tools > Services
9. Restart “Web Client” service

KB Reference: https://support.microsoft.com/en-us/kb/943280