Take a look at my script below, and tell me if I am getting closer to what you want.
Names Default To Here( 1 );
theDirectory = "";
xx = Pick File( "Pick a File", theDirectory );
theDirectory = Substr( xx, 1, Length( xx ) - Length( Word( -1, xx, "\/" ) ) - 1 );
// now this Pick File will go to the directory that the file from the last
// Pick File was selected from
yy = Pick File( "Pick a File", theDirectory );
// If you want this Pick File to span across different scripts, then it would be a simple
// matter to save the directory in a specific namespace and get the
// directory location from a variable saved in that namespace.
// If you want to have the Pick File directory available from JMP session to JMP session
// then what I have used in the past, is to simply save the character string for the
// directory to a .txt file, using Save Text File() and Load Text File() to make the directory
// persistant
Jim