Editor context menu: you have to add it there yourself -- Settings | Menus and Toolsbars | Editor Popup Menu
On another though: use keyboard -- it's faster: Alt+F1, 8 or View | Select In... | Show In Explorer
.
Alternatively: assign custom shortcut to that specific action at Settings | Keymap
-- search by "show" word -- the action will be listed at the very end of the matched list: "Show/Revel in Explorer..."