Reveal Finder Location of Recent Items by Holding Down Command Key
You can easily reveal the location of any recently used item from the Apple “Recent Items” menu by holding down the Command key as you access the Apple menu of OS X.
The attached screenshots demonstrate this tip in action. It works from all apps since it’s part of a system-wide function.
Note that this seems to only work in versions of Mac OS X beyond 10.6, so if you’re on an older version the option will likely be unavailable.