On Windows, it could be done in this way:
1. Open eclipse
2. On the menu on the top, click on Run -> External Tools -> External Tools Configuration.
3. In the new windows, right click on "Program" and then, "New"
4. Enter name. e.g. Explorer
5. Enter the follow data in location:
Now, in the eclipse, you can select any file and then, click on Run -> Run External Tools -> Explorer to open the file directory.