A couple of techniques come to mind, of various complexity and robustness.
Easy, but fragile
Build a partial path specifier. You just start with the name of the directory where the file lives, e.g.
filename = 'Data\myfile.txt';
This has a robustness issue, though. If the user runs your script from anywhere other than where the script lives, this won't work. It's even more fragile in interactive applications, since any time the user changes directories it will break.
A little harder, but more robust
Figure out once where the data directory is, then use this location every time you need to access a file. Assuming your scripts are just run straight through, the following should work:
% Get the directory of this script
p = which(mfilename);
parentDirectory = fileparts(p);
% Build a complete path to data directory. filesep returns the
% appropriate file separator on your platform
dataDirectory = [parentDirectory filesep 'My Data Folder' filesep];
% Reference a specific file by appending the name after the directory name
dataFile = [dataDirectory 'MyDataFile.txt']
HTH, - scott
