That is strange that screenshot url didn't work for you -- but I guess you caught the problem right. AFNI_SESSTRAIL is indeed a good/helpful hint, but seems to not work for me (tried to specify it the way README.environment recommends)
http://www.onerussian.com/tmp/gkrellShoot_01-17-13_094851.png
But in general it would not resolve a case for me -- I do have some loong file names at times...so even without additional parent directories they might not fit (yeah) -- it would be great if the dialog box actually allowed for long file names
