When using Chrome, if you download a file, you can select the option (Show in folder), which will open the containing directory and highlight the file. Similarly, if you look at the properties of the shortcut, you can select the "Find Target" button for the same function. I tried numerous searches, and also looked through the decent parts of the MSDN entry in shell functions , but to no avail. I assume this is just a simple API call or its series, but I do not find it.
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