Why does drag&drop cause the change of working directory?

[BlackWhite]

Recently, I found a very weird behavior of Windows XP:
When I drag a file to an exe and drop, that exe's working
directory will be automatically changed to
"c:\documents and settings\user name"
in stead of current directory that exe lies in.

If I input that exe's name and its required arguments
at console, the above behavior will not happen.

Does anyone know the reason.

Thanks.