Which directory do you mean, because you can find files in the B4A project directory, the B4J project directory, the B4i project directory, or the Shared parent directory for all B4A, B4J and B4i projects. And maybe you want to add a file B4X module, Class or B4X pages from another project.
This how you can bypass the last used directory remembered by Windows:
With a click on Files, right click on Open Map you are in files subdirectory of your project. Next, click on parent directory, and you are in the B4A or B4J or B4i project directory. Another click on parent directory, and you're in the shared directory for all three B4A and B4J and B4i projects. Then copy and paste and add the file.