You can't put a directory/folder directly into your document.
You can put a hyperlink that point to the local folder instead. e.g.: make
the hyperlink point to (no quotes) "D:\My files". When clicked, it'll open
that folder path with Windows Explorer.
Note that if the document is moved into other PC, the link will be broken if
that other PC doesn't have the "My files" folder in drive D:.
Word can be set to recognise certain formats - mail addresses, filenames
of the \\server\x\y\z.ext type, other things - and automatically make
hyperlinks (it turns them blue once you hit space or certain other
things); if you Ctrl-Z immediately at that point, it leaves them as
ordinary text. I didn't know if X:\x\y\z.ext is a format it recognises
in this way. I think recognising of such formats is on by default. You
can also as JJ says manually put in hyperlinks.
If your link is breaking because it has a space in it, you can get round
it by using <>, <like this> (you have to put a space or newline - or
possibly one or two other things - immediately after the > closer).