Try:
set wallpaperPaths to {POSIX path of (path to documents folder)} -- Example
repeat with wallpaperPath in wallpaperPaths
set theWallpaperPosixFile to POSIX file (contents of wallpaperPath) as alias
tell application "Finder" to set theWindow to make new Finder window to theWallpaperPosixFile
end repeat
EDIT
Look in the dictionary for Make in the Standard Suite: