you can probably write some code in the screen load script to do this. I wouldn't expect it to be too difficult. You'll need some experience with coding using LUA (C is close) and you'll need to search out how to locate the last file loaded, or write some code to store the filename and then retrieve it. To get to the screen load script before you enable Mach4, click on the Operator in the top menu.. then click Edit Screen. You'll now see the screen object tree on the left side of the screen. Click on 'WX4' which is most likely the screen set you are using. Then click the the lightning bolt in the Properties window below. Now you should see the selections for the screen load script, screen unload script, plc script, message script and timer script. Click on the box to the right of the 'SCREEN LOAD SCRIPT' text.. then click on the small button on the right of the box you just clicked in. That will bring up the screen load script in the editor. Rest is up to you. There is useful info in the forum and the documentation that came with Mach4. Be careful.. you can make changes that will cause the program to either stop, fault, or lock up. Make a copy of the WX4.set file in the screens sub directory. If you make changes and Mach4 won't load or run, replace the WX4 file in the sub-directory with the original. You might also want to look into the plc script.
Remember.. never take candy from a stranger.. nor advice.