Piracy: ꜱᴀɪʟ ᴛʜᴇ ʜɪɢʜ ꜱᴇᴀꜱ

I assume it creates some sort of save file in the current working directory?

You may try changing the working directory via batch script, if you're on Windows.

Make a text file, name it something like launch.bat (the actual name may be whatever you want, just make sure you leave the extention .bat) Paste this there:

@echo off
cd /d "%~dp0"
start "" "game.exe"

Be sure to replace game.exe with your game's .exe filename. Don't delete any double quotes, they are important.

Put this text file near .exe file of your game, and make a shortcut of it to your desktop. You may rename a shortcut and choose an icon from your game's .exe file to make it pretty.

After that just launch the shortcut as you normally would. If I'm correct, the game should create it's .bin file in the script directory and not in your desktop.