Unfortunately it looks like MSI won't let you put an environment variable into the shortcut, as it has to resolve it on install (see WkDir at https://msdn.microsoft.com/en-us/library/aa371847(VS.85).aspx)

Trying some other ideas, but it looks like the most robust solution will be for IDLE to change the current directory on startup (maybe via a command line option?), or specify the initial directory in its open/save dialogs.

Otherwise, the best I can realistically promise is to set it to the Python install directory, which is not particularly useful either...