Did you notice that PickFile looks different when it's opened from within a project?
More than that - when Pick File is opened from a project, with mydir pointing to a network drive with thousands of files, Jmp will freeze for dozens of seconds:
mydir= "\\computername\directory";
Pickfile("select a file" , mydir)
So, if you work in a project, to prevent Jmp from freezing, please be sure that your initial directory is no network drive with many files:
If(not(is empty(This Project()) ), mydir = "$SAMPLE_DATA");