I don't think that what you are describing is a feature of Windows 7. I cannot duplicate it on any of my Windows 7 machines or VMs.
1. I had a Windows Explorer Window open to C:\Program Files (x86)\Microsoft.NET
2. I used notepad and used File->Open. The Open File Dialog started in my Documents folder.
3. Clicking the existing Explorer Window that was open to C:\Program Files (x86)\Microsoft.NET did not change the Open File Dialog to point at that location.
I tried a few different programs (Wordpad, notepad, Paint, and Microsoft Word) and I wasn't able to get the behaviour you described.
The feature may have been coming from an add-on program of some sort, or may be specific to programs that you use (and those programs may not support the feature in win8+).