We need to allow users to check-out check-in files in Windows Explorer.

Is it mandatory to install Visual Studio in order to use Team Explorer or TFS Power Tools?

What kind of licenses will be needed?

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You can install Team Explorer which is free (but still uses the VS shell), this doesn't require any kind of Visual Studio license: https://blogs.msdn.microsoft.com/devops/2017/04/05/reintroducing-the-team-explorer-standalone-installer/

Then you can install the TFS Power Tools to get the Windows Explorer extension which allows you to do basic source control operations in Windows Explorer.

Note: If you are connecting to an on-premise TFS you still need to purchase TFS CAL's. If you are using Azure DevOps (formerly Visual Studio Online) you get 5 users for free.

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First install the free Visual Studio Explorer 2019

Then install the Microsoft Team Foundation Version Control Windows Shell Extension

Download from here

You may need to reboot to finish installation.