Other responses have discussed the idea that matlab will look in the current directory for any files to be loaded.
If you are unsure what the current directory is, at the command prompt, type
pwd
This will return the current directory. The command cd, when used with no arguments, will also display the current directory name. cd can also help you to move to a different directory when that is appropriate. And of course, if you are unsure of the names of those files in a directory, dir will help you there.
If you prefer to use a directory stack, pushd and popd are nice functions to download.
http://www.mathworks.com/matlabcentral/fileexchange/8103
If matlab does not find the file in question, and you have not specified an absolute path, perhaps generated by uigetfile, then it will look at other directories on your search path. So another idea is, if you frequently want to load files from a specific directory, you can just add that directory to your search path. addpath, rmpath, savepath, and pathtool will all be useful tools here.