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
If you're using Emacs/ESS, this isn't a problem. I navigate to the directory where my R script is located, open it, then start an R ESS process. An R console pops up with the current directory as R's working directory.
If you haven't converted to Emacs/ESS, I recommend it. (Though to prevent a flame war, I also note there are similar options for Vi users.)
Hope that helps.