Very weird problem regarding startup directory

After installing gVim and running gvim from the run window, if I were
to type :cd followed by a tab, I will get \AppData, \Application Data,
etc. Which basically means I'm at my $HOME directory (C:\Users
\Fabian). The weird thing is I do not have a \Application Data folder
there.

But if I were to run gvim.exe from its installation folder, and I
type :cd followed by tab, I would get \autoload, \colors, etc. which
means I'm at the installation folder.

And if I were to pin gvim.exe on to taskbar, upon launch and
typing :cd then tab, I will get \Dictionaries and upon hitting tab
again I get a beep.

I think for the last scenario, I'm at some Adobe folder. Anybody knows
how to fix this weird issue? I'd like to pin it to taskbar and upon
launch, start in the $HOME directory (C:\Users\Fabian).

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