...open the windows explorer and show the specified folder?

uses
  ShellApi;

// strFolder is the folder you want to open
procedure ShowFolder(strFolder: string);
begin
  ShellExecute(Application.Handle,
    PChar('explore'),
    PChar(strFolder),
    nil,
    nil,
    SW_SHOWNORMAL);
end;

procedure TForm1.Button1Click(Sender: TObject);
const
  strFolder = 'c:\My Documents';
begin
  ShowFolder(strFolder);
end;