You need not just link a document to the Links tab; you can also link a folder (which will then come up in Windows Explorer when activated).
1. Go to the Links Tab.
2. Right click in an area on the Tab and select New.
3. Enter the name of the folder in the Document Name Field.
4. Browse out to the folder that you want to link and choose any file in the folder and click Ok.
5. Edit the file name line to remove the file name and backslash so the path in the line is only to the folder.
6. Click Ok.