To my knowledge, you can only locate one file at a time. Each selected file would need to be found one at a time, so if you had your entire library selected and tried to find them all you would tie up your computer with this task for a very long time with no way to cancel it. Plus, you'd have a new window for every single file found. Windows API limitation, if I'm not mistaken.
Home Desk ~ MB 3.3 Portable • Questyle CMA400i (ASIO) • Sennheiser HD 660S (balanced) / Audeze EL-8 Closed Back / Fostex TR-X00 Ebony • Teac AI-101DA • Jamo C93 + Dayton Audio SUB-1000
Work Desk ~ MB 3.3 Portable / Tidal • SMSL SU-8 v2 • Nobsound NS-05P • THX AAA 789 • Sennheiser HD 58X (balanced)
OTG ~ FiiO M11 • Audiofly AF180 / B&O H6