One suggestion would be to monitor when the listbox's index is changed. When it's changed, check to see if the index you're looking at is the one that ultimately needs to open up explorer. You could use a process.start command to open up explorer. I'm thinking something along the lines of
Private Sub ListBox1_SelectedIndexChanged(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles ListBox1.SelectedIndexChanged
if (listBox1.selectedIndex = indexToLookFor) Then
Process.start("explorer.exe", File_Path)
End If
End sub
Now, if you wanted to have the text from the selected item act as a local link to another folder on the system, it would simply be a matter of using this call instead
process.start("explorer.exe", listbox1.text)