Right click your shortcut to the game, click properties, and check that the "target" field and "start in" field point towards the same folder.
This issue can occur if you select "advanced" when installing FE to put it in a custom location. When this happens, the shortcut target changes appropriately, but the "start in" field does not (it retains the location before you changed it).
I have reported this to Stardock before so they should be aware of the issue.
Wrong:
Target: "C:\Program Files\Stardock Games\FallenEnchantress\FallenEnchantress.exe"
Start in: "C:\Program Files (86)\Stardock Games\FallenEnchantress"
Right:
Target: "C:\Program Files\Stardock Games\FallenEnchantress\FallenEnchantress.exe"
Start in: "C:\Program Files\Stardock Games\FallenEnchantress"
