How would you use getfiled then to attach the drawing?
You don't use it to attach the file (xref), but to get the location of the file. Once you have that, then you know what you are going to attach, and you can use the 'AttachExternalReference' method on the space (tab) you want to add the xref. This might be a little more advance stuff than what you are using right now, but it isn't that hard. I would go that ActiveX route.
And is there a way for the dia to remember the last folder that I was in?
Depends on what you want it to remember, and how you want it to remember. If you want it to remember within the same drawing, then you just make the directory a global variable. If you want it to be know in all drawings that are opened, or going to be opened, then you make it a global variable, and use the 'vl-propagate' function to send it to all drawings. These are both ways to keep it known in the current Acad session. If you want it to be known past that, then you have to write it to a file or the registry.