Select Customize under the Tools menu, and check the Remember Last Folder check box on the Customize dialog box.
Alternatively, display the Properties for the EmEditor shortcut that you usually use to run EmEditor, and add /cd in the Target text box. For instance, if the install folder of EmEditor is "C:\Program Files\EmEditor", enter "C:\Program Files\EmEditor\emeditor.exe" /cd. Moreover, fill the Start in text box as a folder you want to open from.
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