Open your SharePoint library with IE (otherwise the button “Open with Explorer” is disabled) and open it with Explorer using the button on Ribbon:
Within Windows Explorer, right-click on a folder of your Library and select “Create Shortcut”.
Right click on the new shortcut and select “properties”.
Copy the URL you find on “Target”; Should be something like this:
Now on a SharePoint page or in any HTML page, create a link with this URL:
<a href="file://your.sharepoint.com@ssl/DavWWWRoot/sites/LIBRARY/FOLDER">My Library Shortcut</a>
In case your URL contains any spaces you need to encode them as “%20”. For other encodings see: http://www.w3schools.com/tags/ref_urlencode.asp