The Open File dialog allows you to select the file(s) to open. They may be GEDCOM (.ged) files or Behold (.bho) files. Behold Organize files tell Behold what GEDCOM files are to be opened along with how to display them.
Behold can open any number of GEDCOM files at one time, but you can only open one Behold Organize file.
The initial default folder used for the first time is the Behold Sample Files folder. After that, the last folder opened is shown. The dropdown arrow will allow you to select from previously opened folders.
When you select a file from the file list, it will be shown in the file name box. Or you can type into the box yourself (with autocompletion). The drop down arrow will allow you to select from previously opened files.