in win2k and higher you can specifiy a folder where in executables (and shortcuts) can be ran without having to specify a path.

for winXP:
goto system settings (windows key + pause/break)
goto advanced
hit enviroment variables
under system variables select "path" and hit edit
Here you can add a path (for example "C:\path"), seperated by semi colons (" ; "), the last path does not need a semicolon

example:
%SystemRoot%\system32;%SystemRoot%;%SystemRoot%\System32\Wbem;C:\path
Like this you can place shortcuts and executables in C:\path, which do not require a path in windows key + R, the command prompt, and such (instead of typing C:\path\program.exe you can type program.exe)