MikeG reported that he wasn’t able to get the Explore Tool in Delphi to work in XP. I tried it on XP today and it worked fine. It might be that something was missed. Here is a nice reference of the important bits from that screen cast:
Go to Tools / Configure Tools / Add
The Title can be anything you want. The program is Explorer (the .exe is optional) and the parameters must be /select, $edname (be sure you remember the comma!)
That should do it for you to open an explorer window with the currently edited file selected.
Update: More explorer parameters.