I have personally not found a way to do this with Mendix widgets, however we use a google chrome extension to achieve this problem. You can find the extension here.
The only configuration you need to do within Mendix, is make sure that your link starts with 'localexplorer' (so for example: 'localexplorer:C:' will open your C drive). If you launch it, the file explorer will pop up instead.
I hope this helps!