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
Put a shortcut for the R gui into your desired directory. Right-click and look at the shortcut properties. Delete the entry for "Start In" and click OK. When you launch the R gui from this shortcut the default directory will be the folder from which you have launched. Copy/paste this shortcut wherever you desire.