Fix pickle(open) for Windows plateform + little fix about the default PICKLE_FILENAME

In windows plateform, it is mandatory to do 
```
pickle.load(open(filename,'rb'))
```
instead of
```
pickle.load(open(filename,'r'))
```
that will consider filename as a text file and cannot unserialize (at least with Python 2.7)

This is a fix about it, as well for ```open(filename,'wb')```.

In addition I added *PICKLE_FILENAME* as a class member.