Does e.g. [my folder](file:///C/Users/shashank/Desktop/my%20folder) work? (that’s how I do it on macOS, but I think it works on Windows too. Make sure to convert spaces to %20 (and there are probably other chars that need to be urlencoded as well).
Also, I’m pretty sure I saw somewhere a user posted an extension for Windows that let you right click a folder in Explorer and grab an “Obsidian URL” for it. I’ll see if I can find that again.
edit: yes here it is: Allow to open local file