Shortcut is missing the Start in / Working Folder

I am using VS 2008 Pro for building an MSI setup.
I have created an application shortcut on User's Desktop.
Although I select 'Application Folder' against the WorkingFolder
property for the shortcut, the setup creates a shortcut with an empty
"Start in" folder.

Though this shortcut works to open my application due to the full path
in the Target, it causes some problems in my application when it comes
to relying on Working folder.

How do I force it to create a shortcut with given folder as Start in folder?

My application installs to a folder under C:\Program Files\<Company
Name>\ProductName

I need the shortcut having that folder info in it.

Thanks in advance.
-John