You don't need to open the folder just select it so it's highlighted. It's nothing to do with the camera but Windows which decides on which folder to open based on the last time you used this facility. So, for example, if you had two folder called Folder 1 and Folder 2, and you last used Folder 2 to store your pictures then, windows will open this folder next time to put any photos in. If you want to put them in Folder 1, then you need to select that instead of Folder 2 before you save the files.