I did this on accident, but it took a little effort to figure out how I did it.

• Drag file from Finder onto Explorer
• Get scrollbar in Explorer to be visible, like by dragging near the top/bottom of the Explorer
• The entire explorer becomes highlighted when you hold the file over the scrollbar
• Drop file onto the scrollbar
• The entire explorer stays highlighted.

It stays highlighted through interacting with the explorer and even switching to another viewlet. Only can be reversed by dragging another file onto the explorer.