Just padding out Peter Lawrey's answer, for Intellij 12.n on Windows 7 the steps for adding explorer as an external program would be:
- File > Settings > External Tools
- Click on the Plus (+) in the
- Name: Open Containing Folder
- Group: [select group]
- Description: Open Containing Folder
- Unselect "Open Console"
- Program: explorer [or] C:\Windows\System32\explorer.exe
- Parameters: $FileDir$
- Working Directory: [leave blank]
- Click OK
You can then add the External Tool as a keyed short cut through File > Settings > Keymap
Right clicking on a source file External Tools->Open Containing Folder is another way to use this tool.