If there are more projects in the current workspace the dialog could offer a project selection droplist to further limit the set of files shown.
Another thing which would be nice in general everywhere - that all file/symbol occurances are sorted in a way so that the items from the currently active project are always coming first if there are multiple equal items.
when you know that the current project is always first you can just choose the first of the list - most of the times one opens files related to the active project.
Re: "Open class in solution", just open the "Find Symbol" dialog and type the class name, hit enter and there you are (of course with the same problem of multiple definitions in different projects)
And while we're at it, why can't all the VAX dialog boxes remember their size and position? It's just a simple matter of calling Get/SetWindowPlacement() and storing the bitstream in the Registry...