Whatever the current directory is for your program, is where it will look for files to open. In the first instance, that current directory is the same directory as where the EXE is located.
Try this:
1. Create your project directory
2. Put your model in that directory
3. Open up DBPro, and save both the source file (.dba) and the project file (.dbpro) in that directory
4. Add your code, compile and run.
load object "yourobject.x", 1
wait key
Later, you can move your media files into subdirectories to make things a little more organised.