Ok I looked at the image wrongly, on the other hand my solution works on an assembly open in SolidWorks and therefore on the "open in Solidworks" part and not on the "recent" folders or the explorer folders.
But if @Batch123! wants to do this without opening the assembly, in this case you have to use SolidWorks Explorer and there it can do a lot of action!
When you are in your assembly, you have the part you are interested in opened. Then you make a file and you see the name of your part appear in the recent documents and when you hover the mouse over the name of your part an icon with a folder appears. Clicking on it will open the folder for your part's location.