I get this problem occasionally when I click the 'browse' button that pops up the Open File dialog.
For example, I opened the properties of a file to customize its icon, so I go to "Customize Icon" and choose Browse. I navigate to the icon I want and apply it. The next time I want to customize my icons, I'd have to navigate all the way to the folder with my icons again. The dialog doesn't seem to remember my last visited folder. Is there a way to fix this?