I am set to create a file explorer using Java. The aim is to emulate the behavior of the default explorer as closely as possible, whatever may be the underlying OS.
You would be better off using Swing. You need different versions of SWT and JFace for different operating systems.
The best approach is to start off simple, and add to what you have as you learn more.
To get you started, you need a JFrame with two JPanel children.
You'll need to add a JMenuBar to the JFrame. JMenu items are added to the JMenuBar. JMenuItem items are added to the JMenu.
Oracle's Swing Overview will help you add more Swing components to your project.