Saving state in same directory as .EXE

I'd like to save the game in the same directory as the exe. I think this is probably a good idea in case the state gets quite large, so if they installed to Compact Flash it doesn't eat up RAM.
What do you think?
I'm also looking for ways to do this, because obviously there is not current directory. Is it possible to get the filename of the current process, perhaps with GetCurrentProcessID or something, or with GetCommandLine()? And then get the directory.
Anyone done this before and can advise The Right Way (tm)?
What do you think?
I'm also looking for ways to do this, because obviously there is not current directory. Is it possible to get the filename of the current process, perhaps with GetCurrentProcessID or something, or with GetCommandLine()? And then get the directory.
Anyone done this before and can advise The Right Way (tm)?