"Insert File…" (Command-I) inserts the contents of a text file at the insertion point in the Pixie Scheme window. It uses the standard file dialog so that you may select a file. This command does no evaluation: It merely duplicates the file as if you had typed it in by hand.
"Set Current Folder…" (Command-F) uses a dialog box to let you choose where Pixie Scheme will look for files, when you only give part of the pathname for them. This "current folder" is also the one whose contents appear when a Macintosh file dialog box opens. A picture of a "Set Current Folder…" dialog box follows.