Comment 1 for bug 293215

hmm... seems like expected behaviour to me. gvim's 'current directory' is the directory where it is run from, not the directory of the file edited. e.g. if you run "gvim ~/myfolder/myfile.tex" from your home dir, vim's current dir will be your home, not ~/myfolder.
From within gvim, you can use :pwd to display the current directory, and :cd ~/myfolder to change it.

A possible solution to your problem is too add this to your .vimrc:
autocmd BufRead * cd %:p:h
It will automatically change the current directory to the one of the file read when you open a file (it can be a bit irritating because it does it for all files, including helpfiles...) so you can use that if you prefer:
autocmd BufRead *.tex cd %:p:h