I see what you mean about having to "Double TAB" if there is only one possible match in the directory listing. I'll set that up as an enhancement request for SE 2012. I'm not sure if that can be addressed via a hotfix in SE 2011.
We always try to focus our features to allow you to get at your code fast without having to reach for the mouse. In addition to the regular modal file open dialog, we also have the "Open" tool window. If you haven't used that, I recommend giving it a shot. It's not super-obvious in the UI, but you can actually type absolute directory paths in the File Name: entry field as a quick way to change the current directory.
The e command on the SE command line is great, but it gets even better if you're using it in conjunction with a project. No matter what the full path to the file is, just typing a portion of the file name will start returning matching files from your project.