That's a behaviour of Explorer which Opus (intentionally) doesn't normally emulate.
There's some discussion of it here including some ideas with buttons that can make Opus do similar things.
e.g. You can use this when a *.htm file is selected to automatically select the corresponding *_files directory as well:
@nofilenamequoting
@nodeselect
Select "{file|noext}_files" EXACT
(Or just use MHT files instead, which combine the HTM and directory into a single file, removing the issue entirely.)