I'm not aware of any way to change the behavior in which Office apps highlight the first FILE in the folder you have selected. However, you can control the specific FOLDER each application starts in when you select File | Open. In Word, this is set in Tools | Options | File Locations | Documents. In Excel, this is set in Tools | Options | General | Default File Location.
I've also found that changing the settings for how the files/folders are displayed, via the Views dropdown in your Opendialog box helps some (saves some scrolling).
I know this doesn't do what you specifically were looking for, but I hope it still helps!
Ron