You can't highlight the last played, but to display just .mp3
$$sfile($+(%mp3ddir,*.mp3),Pick MP3,Play)
For .mp3/.ogg/.wma
$$sfile($+(%mp3ddir,*.mp3;*.ogg;*.wma),Pick Sound,Play)
You could use this to put the last played into the filename box, but it still won't highlight/select the file.
$$sfile($+(%mp3ddir,filename.mp3),Pick MP3,Play)