To be honest, I don't know what the MSDN process manager is, but I know that whenever I create processes, I call CreateProcess, this function has an ability to decide which directory the process is created in. For the example I'll create a CMD process which is in the C:\ directory.
STARTUPINFO si;
PROCESS_INFORMATION pi;
ZeroMemory(&si, sizeof(si));
si.cb = sizeof(si);
ZeroMemory(&pi, sizeof(pi));
CreateProcess(_T("cmd.exe"), // Note, because this is windows, it will automatically find cmd.exe because it's in one of its automatic search directories, so no need to put c:/windodws/system32/cmd.exe
NULL,
NULL,
NULL,
FALSE,
0,
NULL,
_T("c:\\"),
&si,
&pi);
Handles to the process and main thread are kept in the PROCESS_INFORMATION object, and must be closed using CloseHandle after you finished with them.
For more info on all these parameters (even though for the most part you will be using CreateProcess almost exactly as I just did) here's the MSDN page:
http://msdn.microsoft.com/en-us/library/ms682425%28VS.85%29.aspx