Uhm, best way to fix it, is open the properties of the shortcut, and you'll notice the "Start in" field is blank. thats yer problem. as i run everythin on my D: drive, my "Start In" field looks exactly like this for NS:
D:\SIERRA\Half-Life
you should make sure yours looks the same..err..scratch that. make sure your spoints to your HL directory..wherever that is.
Anywho, if anyone cares, thats the fix, and if Flay and everyone else already fixed it..Kudos.
On a second note - KFS, i finally managed to drag my sorry (rotten/smelly) carcass over to the forums. go me. Too bad the "Roadkill" forumname is already taken
[edit]
uhh...afttr looking some more, it seems the fix is known, go that.