QuickBooks Desktop will only automatically recall account or transaction information. The option to remember the last location of your recent attached document is unavailable. I'll surely send this feedback to our product developers that you'll also want to have a way to automatically recall last file location.
I have an article here that you'll want to check out: QuickBooks Document Center: FAQs and common issues.
I'll be around to help if you have other questions. Have a good one!