Ok, after reading the messages here (and doing some searching with DejaNews), I've come up with the following:

char lpFileName [1000];
char *ptr, c = '\\';

GetModuleFileName(GetModuleHandle(NULL),lpFileName,sizeof(lpFileName)-1);
ptr = strrchr(lpFileName, c);
*(strrchr(lpFileName, '\\')+1) = '\0';
chdir(lpFileName);
MessageBox(0,lpFileName, "Hi There", MB_OK+MB_ICONSTOP);

Which should leave me in the relevant directory, and I can run my exe from there.

Thanks to all who contributed.

Matt.