Links to open file *location* locally

Our company has many machines across platforms linked to one archive. We often send links to one another via Teams. By default the links open on the web. 
We want to be able to send links that open the local file's location and not the file itself. For example, you can make a link, post it and then click the "open on desktop" option, but then the actual file opens in whatever the default app is for that file and you still don't know where that file is located. The important things for us is to quickly and easily know the location of the file so we can pin and revisit that folder since we're all working in that project. 
So, it would be great to have a solution for that. Either open the folder and the file, give the option to just open locations and not the file itself (like a local option in settings to 'only open locations from app links') or something else creative that works.