When using this method, More than likely, but it wouldn't achieve anything we can't already do with Emacs and S-mode. That will automatically happen the way S-mode is used. There's something desirably simple about starting Splus in the directory where your files are.
Shortcuts are a long way round.
If I were forced to use Windows, I'd have the shortcut in the same directory as my files and start S from within Explorer. I'd still have to set up each shortcut by hand. Maybe ESS for Windows Emacs would avoid that. If anyone else is like me, they will also have a dozen or two text files associated with each project. I also invariably have postscript files of plots with each project.