Windows 7 - "Magic" frequent folder

Besides a Tasks category, an app's Jump List can include Recent, Frequent, Pinned as well as custom categories (also see this helpful article by Raymond Chen).

As for how it works, give this article a read:

What does the Windows Shell consider a recent or frequent item? Well, it’s just a file [or folder in your case - Karan], that your application is associated with in the registry (not necessarily as the default handler), and that was either:

• Used to launch your application directly (e.g. double-clicking a file in Windows Explorer)

• Selected by the user in a common file dialog (open/save)
• Specified as the parameter to the SHAddToRecentDocs API function

The second is most likely what applies to your case, and thus the folder you've selected in Audacity's Save dialog gets added to Win Explorer's Jump List. Helpful certainly, but magic? Not quite. :)