This is an excellent and perennially useful piece of software, so I think it's worth chasing up the odd bug.
There seems to be a problem with ES 4.05 on the Mac (10.4.11, in my case) when loading larger MP3s. I'm repeatedly finding that in the process of converting them to WAV ES truncates them, losing several minutes off the end of each file. Is this a known bug? The best workaround seems to be to convert the file to WAV using Quicktime Pro. Do not use Switch for this -- significantly it seems to have the same truncation bug, so it looks as if ES may be using the same MP3 conversion routine as Switch.
On the question of loading from a directory rather than a file, yes, I was fooled by this for a while. The docs didn't make this clear to me, but it's fine once you get the hang of it. Incidentally, after several years using ES I've only just discovered that you actually can load a single file -- you just need to drag and drop its icon onto the ES window and it will load irrespective of which directory it comes from.
I'm with Tony on this. Yes, it's a very odd choice of location.