There is a setting in the General preferences that will allow you to open the last contact sheet folder if it is available, but unless all of your images are in that one folder, it isn't going to open all of the subfolders on its own.
You can use the Navigator to open your main folder and all of its subfolders and then make a multi-folder Favorite from it by choosing the Remember Folders command on the File menu.
Please note that PM is not designed to open tens of thousands of images at once and you may cause PM to hang for long periods of time if your folder/photo set is large.
HTH,
-Kirk