Here is note from GTK3 Devhelp :
Old versions of the file chooser's documentation suggested using gtk_file_chooser_set_current_folder() in various situations, with the intention of letting the application suggest a reasonable default folder. This is no longer considered to be a good policy, as now the file chooser is able to make good suggestions on its own. In general, you should only cause the file chooser to show a specific folder when it is appropriate to use gtk_file_chooser_set_filename(), i.e. when you are doing a File/Save As command and you already have a file saved somewhere.
I did not use GTK on WIndows, so I can't help about that.