By pressing R (for recent files) it is possible to click on the icons to open the files or to display the folder.
Otherwise, you have to right-click on the part in the tree of an assembly, display the properties, copy the path and paste it into a Windows explorer: a bit tedious, but I don't think there are any other solutions.
Edit: indeed it also worked in 2013, I thought it was only since 2014 (2013 not used).
I don't know the purpose of your request, but if you want to know where the part of an assembly is, you can also open the part and press "Save-As" (or F12).
The folder that opens is the one where the piece is located!
Press R, you will see your recent files, go to the thumbnail of the part you are interested in and under the file icon appears "Show in folder". Click on it and you're there!
But he's right, the bugger!! A Ctrl+O is enough! Thank you @Bart!
It's an evolution of SW that I missed, because it's guaranteed, in previous versions it didn't work! He opened the last file where there had been a recording.
Another idea comes to me, why not use the file explorer in SolidWorks in the task pane on the right and thus list the documents open in SW and on the file you are interested in, right click and "search in my computer" (see my attached image)