Ah yes, that issue. Well, the same button is called "Choose" on OS X and "OK" on Windows, although the dir picker dialog on Windows has a more intuitive directory tree layout (well, it's as intuitive as the notion of a dir tree is in the first place, anyway). Since these are all native MFC/Cocoa/GTK+ widgets, we can't change the button label without rolling our own dir picker AFAIK, an unappealing option that also goes against the wx philosophy of native widgets on each platform.
So not sure offhand what a good solution would be. One easy thing to do would be to include the complete folder path in the error message "No supported executables in folder", so at least it'd be clear which folder was being examined. Still doesn't fully explain to the player what they're doing wrong or how to fix it, but it's a start.