...
implementation
uses ShlObj;
...
procedure TForm1.Button1Click(Sender: TObject);
var
PIDL: Pointer;
Path: LPSTR;

begin
Path := StrAlloc(MAX_PATH); // Gets the amount of
                            // memory of 255 character.
SHGetSpecialFolderLocation(Handle, CSIDL_RECENT, @PIDL); 
                       // receive the wanted directory
if SHGetPathFromIDList(PIDL, Path) then
       // returns false if folder isn't part of file system
  begin
  OpenDialog1.InitialDir := Path; 
  // Tell the TOpenDailog the path that it will be opened
  OpenDialog1.Execute; // Open the TOpenDialog in the wanted path
  end;
StrDispose(Path); // remove the pointer of the string from memory
end;