That could be the problem then. My installation didn't create a desktop shortcut even though i've checked that option to create one. Hence i've launched it from the install location.
Alex, I'm not sure why the desktop shortcut was not created? You can create your own shortcut on the desktop by right clicking on the TeradataStudioExpress.exe and choose 'Create shortcut'. Answer 'yes' to put it on the desktop. Then open the properties for the shortcut (select and right click) and change the 'Start in' field to: %HOMEDRIVE%%HOMEPATH%. This will allow you to launch and cause the workspace to be created in the your user home area.
A co-worker of mine just installed this tool and the shortcut didn't get created on his machine either. The workaround provided by you did the trick though. Thanks. Alex