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By default the editor has this item in context menu. If you need this feature on tabs you have to create a file with name "Tab Context.sublime-menu" in "\Data\Packages\User\" (if does not exist yet) and add this code:

        "caption": "-"
        "command": "open_dir",
        "args": {"dir": "$file_path", "file": "$file_name"},
        "caption": "Open Containing Folder…"

Do not forget formatting lines as a JSON file! If you do not need a separator before this menu item you need to delete first block with caption "-"! You can add any other menu item in this file. For example:

    "command": "copy_path",
    "caption": "Copy File Path"

Cheers, Csaba