Really?
Wells first off blue files are compressed files (or at least have been interpreted as compressed). It was something present in the older versions of the application, which I had previously explained so it had slipped my mind when I was working on the manual.
As for the file linkage, I honestly thought that was pretty straight forward.
There's an array of file objects which keeps track of all files that have been opened. Whenever you refresh the UI (typically done by selecting the appropriate file tab), it first checks to see if the reference of the file of each asset type (ie Palette, Image, ANimation), still is opened, and if it isn't, it then tries to open the last opened file of that type, or nothing if there aren't any files of that type left. The Assets property, which is located under the Info panel shows you which assets are currently loaded into the selected file. If you click on them, it'll display a drop down menu which you can then switch to another file of that type if there is another one loaded.
In terms of loading multiple files at once, at the moment it won't attach an asset that is loaded after it, (ie NCGR then NCLR will not have assigned a reference of the palette to the NCGR), however as soon as you switch tabs, it will run the above routine again and you should be fine unless you already have a palette opened beforehand, in which case it would already have a reference to that. But again its just a simple matter of swapping the selected asset.
Was this mechanic really that confusing?? If so I'll have another go at explaining it later.
Bear in mind though that the Open File Dialog is only able to load one file at a time as it is just a quick implementation therefore lacks any further functionality. Same goes for the archive viewer, it's only set up to load one file at a time. Context menus are planned, though you should already be able to right click on any image and copy it to your clipboard.
I mostly use the Drag & Drop myself, though I suppose most people are more accustomed to dialogs >_<
Anyways, due to the fact that most people at my workplace are going to be on leave next week, thus limiting the amount of stuff I can get done since I'm still in the process of getting approval/feedback from heaps of people. I've got all of next week off, so hopefully I'll get to sit down and work on this a little

@henke37
SDAT is on my list, but if you want the others you've got to provide at least some of the information yourself, or link me to a place that has information about them. I know this sounds kind of lazy, and I'm sure I will eventually get round to looking into them myself since I find it fun, but if your looking for a quick way to be able to accessing custom formats, it'll happen much sooner if I've got the know-how already.
I've had one person (who I think is still wanting to keep what they are doing secret) PM me with their notes on a custom format, and it only took like 10-20 mins to add support for it. That being said, archives are by far the quickest and easiest formats to add support for since there's not a lot of variation in the data structure, but other things will take longer since their data structures are still a work in progress.