Set Dir will work fine, but you have to remember to set the directory back to the original directory if you have files to load from the startup directory.
A better idea is to not use Set Dir, but instead create a series of 'location' variables which are relative to the startup directory.
For example, in your program, you would have at the start:
Start$ = GET DIR$()+"\"
Then, if your data files were in the Data directory and Levels in the Levels directory you would use:
DataDir$ = Start$ + "Data\"
LevelsDir$ = Start$ + "Levels\"
...and so on for the required file locations.
The benefit of this is that in your program, when you want to load say a file called
Level010.dat from the levels directory you simply use:
LevelsDir$+"Level010.dat"
...for the filename to load.
This method can also be used for loading and saving directories without having to switch directories all the time.
For your example, you would simply use:
ObjectsDir$ = Start$ + "Objects\" << or whatever folder you store them in.
Then use:
Load Object ObjectsDir$+"ObjectFilename.X", ObjectNum
TDK_Man