On windows you can write your own post export script for that.
Take a look at the video post by mk1x86 member : Custom Export Script For Cubase 8 (Post Process) - YouTube
Here is the script and follow the procedure explained in this video :
<?xml version="1.0" encoding="UTF-8"?> Open containing folder ExplorerFolder.png C:\windows\explorer.exe "/select,$PATH" false false