I'm using the Microsoft Explorer to get to folders in my root drive.
I have the mind set to close that window first when I'm working, but I always forget one more thing I need in that folder.
I get there by a right-click of the start button. How about a shell integration that'll put "Last Explore" as an option in that right-click, and open to the last place you ended that original "Explore"?
It might need a stupider name though. How about HadExplore? I don't like Return Explore. BackExplore isn't too bad either. Or with spaces back between the words, ie Had Explore or Back Explore.