May be a silly question, but are you changing the connection method when you first connect the phone to your PC? With the Marshmallow update, it now defaults to "charge only" and you have to select to be able to see/use the files on the phone (might be wrong, but I believe it's MTP that you want).

If you're not sure how to check this, after you've connected the phone to the computer, pull down the notification tray and you should see the option available to you.

 

@Geese1 is right - once you connect your phone to your PC using the USB cable, pull down the notification bar from the top, and tap the option to MTP

 

So, you selected the MTP option (as shown in the screen print), and even then, nothing shows up in the Windows File Explorer? That's odd.

 

Sometimes it doesn't show for me either when on MTP, and a simple fix that works for me is to use the drop down notification area on the phone to select another transfer method, say charging only, and then re-select the MTP after that. Sometimes it seems like it gets stuck on another transfer method, and de-selecting, and then re-selecting, the MTP seems to give the software the kick it needs to start acting properly.

Give this a shot if you haven't already and see if this works for you.

 

Glad you got it figured out.
Curious - if/when you get a moment, could you post a screen print of the two buttons? The stock ROM should have only the options that I shared in my earlier post.