When you select Open from the File menu, it seems like the standard behaviour of Visual Studio 6 is to create a file open dialog in the directory that you last opened a file from. I think it would be more sensible if the initial directory was taken from the file that you are currently editing. For example:
The last file I opened was C:\\blah.txt The currently selected edit window is showing c:\\foo\\bar\\baz.cpp I want the dialog to open in c:\\foo\\bar NOT C:\
I prefer the current behaviour, because usually I am editing a file within the solution, and the other files within the solution are more easily accessible through the Solution Explorer.
In any case, I don't think this is within the domain of Visual Assist.
WndTabs supports this feature. This great plugin gives you tabs beneath the source editor for all open files. You can right click a tab and "open containing folder", then you could drag the file you need open to the ide.