In Linux Mint 20.04 running MATE, to change from the default Caja to use Thunar instead

sudo apt install thunar

Create a backup of MATE config

cp /usr/share/applications/defaults.list ~/

Then run

sudo vi /usr/share/applications/defaults.list

Search for inode and you will find the following

inode/directory=nemo.desktop;caja-folder-handler.desktop;org.gnome.Nautilus.desktop;Thunar.desktop

Edit it to be this

inode/directory=Thunar.desktop

Save, exit and reboot.