In Enterprise Architect, go to Component's properties (double click on the component box in the diagram) and go to files. That's the place to put the file list in Enterprise Architect.
Still, it's possible to model it in a way that a single file is represented as a separate component and thus "master" component is clickable so it is possible to navigate to another diagram, but when the model gets big and consists of many files it won't serve the purpose and it will get too complicated.
If for any reason, it is necessary to clearly mark the file list on the diagram, the note with textual description is sufficient.
Note that primarily a model (i.e. Component Diagram) is to show the parts of which the system is build and as opposite to the design, the file list is specific to the implementation.