I can confirm with certainty that you select Load, browse to the new file location, network drive, local drive, anywhere where Windows can find a file, open it. From then on, until you browse to a different location, Mach3 will go to the selected folder when selecting Load.
I've never personally had a gcode file anywhere other than a network location. If I need to do a clean install of Mach for some reason, once pointed to the network location, and for that matter, a file extension (.tap, .txt, .ncf, etc) it sticks.