Thanks to all who replied. Many replies see but all pointed out two solutions.
1. Modify the shortcut that we use to start pro/E. Right click the shortcut and change the 'Start in' directory to required working directory. Make as many shortcuts, copy and paste and change each shortcut's name and 'start in' directory to various project directories. This will make sure which ever shortcut you choose to start pro/e, your working directory is pre set. However, this solution is not so much practical in cases where you have to switch working directories very frequently, as is the case with me.
2. The second solution goes as using Mapkey. The mapkey should be recorded by using File menu. Navigation menu does not yield a robust mapkey, so should be avoided. Mapkey can be recorded in two ways: i. One mapkey to set one specific folder. Simply record as many mapkeys as you want by selecting File>set working directory>select or navigate your required directory and say ok. ii. Another way is to create one mapkey and use pause to get a chance to select required directory. Start recording mapkey by selecting File>set working directory> press pause button, write a prompt line, and select a directory, > press resume>stop.
The second option in using mapkey is best suited to me. I went up to selecting favorite>browse favorite> then took the pause>continued and finished.
Now this makes me feel real lazy. And for that I want to thank all those who replied and helped me do this!