Maybe you could do that using Zinc to create your exe, but straight flash can't do that. The closest thing I can think of is the FileReference class which would at least open a browse window which displays folder content.
PHP Code:
import flash.net.FileReference;
var listener:Object = new Object();
listener.onSelect = function(file:FileReference):Void {
trace("Opened " + file.name);
}
listener.onCancel = function(file:FileReference):Void {
trace("User cancelled");
}
var fileRef:FileReference = new FileReference();
fileRef.addListener(listener);
fileRef.browse();