While in general your approach could work, you might want to look into the Swing concept of Actions. JMenuItem has direct support for actions, you would not need a MouseListener (which is a bit to low-level for your usecase).
Try to look at the examples, it might look a little overwhelming at first, but in the end it is a nice and clean encapsulation of what you want. And it is reusable, meaning you could use the action on a different menu (maybe the context menu) as well.
And for your code, you are missing the call to fs.showOpenDialog(component)
.