Maybe if you think about it as a "push" operation as opposed to a "pull" one, it will get you there quicker - I use Bridge to track and manage all of my project files, and any project I'm working on is saved in the Favorites tab. It's a simple matter to open Bridge (which is usually open anyway), view the files I'm about to use, sort or select them, then drag and drop into AE.
The whole sort/select process I'm talking about is done before hand, so it's really a one step operation. I pick my selects, then either label or keyword them in Bridge, so with a single click, I can be looking at just the files I'm about to import (.mov for example). I then Shift or Control select and drag them into the Project in AE.
Joe Bourke
Owner/Creative Director
Bourke Media
http://www.bourkemedia.com