[lmi] wxmsw-2.9 regression: default directory for File | Open

[Greg Chicares]

To reproduce:
  load lmi on msw [FWIW, I'm using msw 'xp']
  File | Open
Examine the "Look in:" directory shown at the top of the dialog.

With wx-2.8.10 and prior versions, this apparently is set to the
directory of the first file in the history list saved in HKCU/lmi.
That's a useful behavior: the directory that users are most likely
to want is the last directory they used in a prior session.

With 'wxWidgets-2009-03-12.tar.bz2', it's set to "My Documents",
even though the file-history list contains the same entries.