I would like to create a link which opens a folder and selects the specified file in it on Windows. It should work like explorer.exe with the /select switch. I use MigraDoc AddHyperlink(filePath, HyperlinkType.File).
MigraDoc creates documents (PDF, RTF, HTML, potentially others) and a hyperlink can only do what the created document supports.
You can add links to other documents giving specific filenames. AFAIK you cannot add links to file-browser dialogues or to EXE files.
With PDF there may be more options, provided you add JavaScript code to the document. MigraDoc does not generate JavaScript code automatically.