This is for interest only, as I can't find the answer.
Following on from reading Any known problems with getting SaveFileDialog's InitialDirectory property working in Windows 7? I looked for anywhere that OpenFileDialog would be saving the information. I found that it even survives a hard reboot, but a search through the registry fails to find any reference to the saved directory.
It's not in the Environment.CurrentDirectory either.
I'd have put this in as a comment to the above, but don't have enough reputation.