EDIT:
As of java 9 there is now a method in the Desktop API to select the file
desktop.browseFileDirectory(<file>)
EDIT:
You cannot highlight a specific file with the java Desktop API.
ANSWER TO ORIGINAL QUESTION:
The Desktop API will allow you to do this by using this snippet,
File file = new File ("c:\<directory>");
Desktop desktop = Desktop.getDesktop();
desktop.open(file);
The documentation for the code used above is at these links,
http://docs.oracle.com/javase/10/docs/api/java/awt/Desktop.html and
http://docs.oracle.com/javase/10/docs/api/java/io/File.html
On a Windows computer this will open the default file explorer and on other systems it will open their default explorers respectively.
Alternatively you could use the new java Path API to build the required path and then invoke the method that returns the corresponding File object.
For brevity I excluded the checking code to make sure the Desktop and File objects exist.