The Open Content dialog (File > Open) lists the different types of content that can be opened in Explorer. When browsing for local content like KML, shapefiles, rasters, or geodatabases, each of these choices "remembers" its last visited folder. But suppose you've navigated to the correct folder, but then realize you're browsing for rasters instead of shapefiles. To keep your current folder and switch data types, just use the <CTRL> key and click the file type you want. Your current folder will remain opened, and you'll switch from one data type to another.