第一种方法：（在桌面创建Stata快捷方式）→右键点击Stata图标→快捷方式选项卡→选择属性→起始位置处输入如："C:\Documents and Settings\Administrator\桌面"；
第二种方法：In the main Stata folder, create a file called "profile.do"(if existed, just open it with any text editor). After open it you can include any commands in profile.do e.g.
             set memory 400m
             "C:\Documents and Settings\Administrator\桌面"
Stata will execute this dofile with every startup.

cd: "目标目录"

cd只是临时改变，而非permanently，每次重新打开还得cd。

1楼方法是对的，二楼的好像是每次还得改

cd: "目标目录"  permanently