I've seen this idea in other programs, and the biggest fault, imo, with it, is that people sometimes decide that they don't want the download to go to the directory shown and try to move it while the download is in progress. By not having this button it eliminates the option of trying to move a file while it's still downloading from the aspect of that program.
Nothing wrong with doing this...
This makes sense to me and I can't think of any reason why being able to open the folder while the download is in progress would be beneficial. If I really wanted to open that directory, I could do so through Windows Explorer (NB: Not Internet Explorer, which is a different program).
Think a little harder... Firefox, Chrome, and Safari all allow you to open the containing folder of a file while in progress. IE is the odd one out.