Commit 96a2c97 implements Proxima's suggestion of remembering the active pack - or rather, I decided to go even more precise and remember the exact level - and 1468e5e implements an improvement, where if the individual level has been removed, it'll go to the first unbeaten level (or first level, if all of them are beaten) in the same rank; if the entire rank is gone, the first unbeaten level in the pack. (In the case of ranks inside other ranks, it goes up one parent level at a time until it finds one that does exist.)
Commit dfc41be implements Strato's suggestion of being able to have a shortcut to individual packs. Shortcuts can be made to the pack as a whole, a rank, or even an individual level - this is a side effect, of that the most efficient way to write this was to re-use most of the code from Proxima's suggestion. If you've organised your "levels" folder into multiple subfolders with packs inside those, you can have a shortcut to one of these subfolders too*. Commit 639a886 adds a button in the level select menu, that can be used to create a shortcut to the currently selected level / pack.
What isn't going to happen: The option for a shortcut, that takes you to the last level you played in a specific pack. It's too much work to track this on a per-pack basis. The options are - you open NeoLemmix via the EXE file, and go to whichever was the active level last time you played. Or, you open NeoLemmix via a shortcut, and are taken to the first unsolved level in the target pack / rank (or an exact level, if the shortcut was created to a specific level).
* I would agree that this feature - including just the "you can organise inside subfolders" itself - is not a worthwhile feature to make a special effort to implement. However, this capability exists and should be (close to) 100% reliable, simply as a side effect of how pack organisation works.