A script that lets me open the locations of file shortcuts?

*.lnk files? There's a command for that in the context menu by default, right at the top.
Right click the file and you should see "Open Target's Folder" right below "Open".

You can create an additional button for that too, of course:

go opencontainer=target

You can also change the context menu entries. I added an additional entry for lnk files where it copies the target folder path using this addin by Ixp.