In several drill folders I see the file "#LASTDRILL". What is #LASTDRILL for?

You will likely find a #LASTDRILL in each drill folder and its purpose is to remember the last drill loaded or saved in that folder. This allows you to easily resume your workout where you left off. Simply use shortcut key l, or menu "Drill/Load" and load #LASTDRILL to restore the last drill used in that folder!