linking to a cell in a Notebook from an outside program

In MS OneNote I can link to a Paragraph, so that when I open that link from an external program (like Windows Explorer), it’ll tell OneNote to open itself and then open that Paragraph.
I simply right-click on a Paragraph and it’ll offer me to copy a link, which I can use externally.
Is there a way to get a link to a cell in Mathematica 12.1 like that?

Here’s a video demonstration of what I don’t know how to do in Mathematica:
https://www.loom.com/share/28f251e32e4940d49a124142a651a203

[it’s kinda difficult to figure out whether Mathematice does not have a feature, when I’m unable at easily reading the documentation, as I’m completely new to it]