registry search (one way):
click on the Start icon .
Type in cmd and press enter to get the Dos prompt
Then type in regedit and press enter. Wait a short while till the registry editor is populated with stuff.
click on Edit , then Find and then search for the string that Gil mentioned ie LastDir
it should populate a list of items with Name , Type and Data columns - you want the data value
Note : There may be other better ways to get this info...