One use that springs to mind would be to have it default to c:\program files\blitzmax\mod whenever I want to build a module.
Why don't you just add %PROGRAMFILES%\BlitzMax\bin to your PATH environment variable - this is a list of directories, that Windows (and the command prompt) will look for programs if you just type in the name of the EXE, e.g. bmk makemods, even if you aren't in the folder.
Right-click 'My Computer', go to Properties, select Advanced (System Settings), click 'Environment Variable', and then under System Variables, select PATH, and add onto the end of the text that's already there...
;C:\Program Files\BlitzMax\bin