It's on the File menu. (Explorer has a menu just like everything else.)

There are sometimes right-click-context-menu things you can do in Explorer where there aren't equivalents on the file menu. But interestingly, there's a "secret" keystroke to get the right-click-context-menu to appear without the mouse. Shift-F10 pops the context menu in Explorer. That's a rare one most folks don't know about.