One of mathematica annoyances when working with external files (various import/export functions), is that it defaults to the user's Documents directory. I usually keep the data/graphics files in the same directory as the mmka notebook and its painful to specify the full path every time.
Here is a command that sets the working directory to the notebook directory.
ToFileName["FileName" /. NotebookInformation[SelectedNotebook]]]]
UPDATE: Easier (thanks Pedro!):