It won't show anything in Cura (V5 in my case), but will pop open a Windows Explorer window (the file browser) at the correct location. Did it perhaps pop up behind the Cura window?
And, if that isn't working for some reason, for V5 the files are indeed in C:\users\<you>\AppData\Roaming\Cura\5.0. But, if you get to C:\users\<you> and do not see the AppData folder, then you need to enable "hidden" folders to be shown. Do that here: