I use R under Windows on several machines.
I know you can set the working directory from within an R script, like this
setwd(\"C:/Documents and Setti
You should copy shortcut to R (R.lnk file) to desire folder. Then in "Properties" (right mouse button -> last option) delete anything in field "Start in..." in second tab ("Shortcut"?). If you start R with this shortcut working directory will be that one where the shortcut is.
I don't have english version of Windows so I'm not sure about field names, but they should be easy to find.
Similar questions were in R-windows-faq:
2.5 How do I run it?
2.10 How can I keep workspaces for different projects in different directories?
2.14 What are HOME and working directories?
In 2.14 is mentioned that
The working directory is the directory from which Rgui or Rterm was launched, unless a shortcut was used when it is given by the `Start in' field of the shortcut's properties.