Sample見ながらやってみた。一応動いてる。
Sub OnStartup
Set UI = SDB.UI
Set Mnu = UI.AddMenuItem( UI.Menu_Pop_TrackList, -1, 1)
Mnu.Caption = "フォルダを開く(&D)"

Mnu.UseScript = Script.ScriptPath
Mnu.OnClickFunc = "OpenExp"
Mnu.Shortcut = "Ctrl+1"
Mnu.IconIndex = 70
End Sub

Sub OpenExp( Itm)
dim TesSong, fs, f, s
TesSong = SDB.SelectedSongList.Item(0).Path
Set fs = CreateObject("Scripting.FileSystemObject")
Set f = fs.GetFile(TesSong)
s = Chr(34) & f.ParentFolder & Chr(34)
Set WSHShell = CreateObject("WScript.Shell")
WSHShell.Run "explorer.exe " & s
End Sub

\MediaMonkey\Scripts\Autoに入れる。自己責任で