GVIM: Set working directory the same of the current file

Hello,

Is there any manner to do that GVIM's current directory will be the same
of the file being edited?

I mean that if I'm editing /var/www/myhost/web/index.php and if I try to
open a new file, it should shows /var/www/myhost/web instead of my
user's directory.

Thanks a lot in advance,

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