"Edit with vim": Set working directory as folder containing editted file

I have gvim 7.3 installed on Windows 7 Enterprise (32-bit). When I
select a bunch of files, right-click, and choose "Edit with single
Vim", the working directory for vim becomes "Symantec Endpoint
Protection" rather than the folder that contains the selected files.
Is there a simple tweak that I can make to ensure that the working
directory is the same as the folder containing the editted files?

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