The win file is the project file that is in your project folder when you do a test run, and this it where the game is run from when you do a test run so that is essentially your working directory because of the way the testing works. So if you launch from within the IDE that win file will exist in your working directory.
When you run the game from rhe IDE pay attention to end of the complie window and you will see where your game is run from, you will see something like:
"C:\Users\your_name\AppData\Roaming\GameMaker-Studio\Runner.exe" -game "C:\Users\your_name\AppData\Local\gm_ttt_6807\gm_ttt_68974\yourgame.win"
That is where it runs your game from. You could test this further with a test object, simply create an object and put this in the draw event:
Code:
draw_text(20,20,working_directory)
run it and you will see that this location is your working directory when testing.
If you build a stand-alone exe that mygame.win file won't exist and you working directory will be in your AppData\Local\Temp folder.