This should be possible with the shell function SHOpenFolderAndSelectItems
EDIT
Here is some sample code showing how to use the function in C/C++, without error checking:
//Directory to open
ITEMIDLIST *dir = ILCreateFromPath(_T("C:\\"));
//Items in directory to select
ITEMIDLIST *item1 = ILCreateFromPath(_T("C:\\Program Files\\"));
ITEMIDLIST *item2 = ILCreateFromPath(_T("C:\\Windows\\"));
const ITEMIDLIST* selection[] = {item1,item2};
UINT count = sizeof(selection) / sizeof(ITEMIDLIST);
//Perform selection
SHOpenFolderAndSelectItems(dir, count, selection, 0);
//Free resources
ILFree(dir);
ILFree(item1);
ILFree(item2);