Confused by Xubuntu desktop launcher

When I installed xubuntu-desktop on top of Ubuntu, one Wine-generated desktop launcher stopped working as it should have from within Xfce. The program associated with the launcher lost all its settings each time it started.

I found I had to launch the program directly by locating and opening it in Thunar to make it work correctly. Both "/path/to/program.exe" and "wine /path/to/program.exe" in terminal and alt-f2 produced the same results as the launcher. When I made a soft link to program.exe on desktop the program refused to start at all. (Not that I expected it to; I understand what's happening here at least - it can't locate its other files.) Eventually I discovered that if I did "cd /path/to" first and then "./program.exe" the program would start up okay, so I made a script and used that in the launcher.

I'm extremely confused as to what happened. What is the difference if I start a program from my home directory or the directory it is located in? Is there an easier workaround for my problem? Even though it's solved, I feel like I'm missing something important here, so I'm asking the question anyway :)