How to set Mac to automatically return to the previous folder when closing files

I recently switched to a mac. I use folders and PDF files a lot. Here is something that bothers me and I don't know if has a solution: When I open a folder a file from a folder and I exit or close it does not take me back to the folder from which I opened the file, instead takes me to a blank screen. I'd like to take me back to the folder from which I opened the file.

Any help is greatly appreciated before I switch back to Windows.

[Re-Titled by Moderator]