@c:\new_directory\file_name or
start c:\new_directory\file_name
are two ways to run a file NOT in your startup directory.
Once you start in a directory, it stays as the default.

If the path name is long, I'd change the start location property of the desktop shortcut, then all you have to do is enter "@file_name"

You can verify the start location by typing host at the SQL> prompt. You should get an MS-DOS shell window with the cwd shown.