The HelpFiles directory is always expected to be relative to the current working directory on the client (also called the "Start In" directory - by MSWin), unless the SESAME_HELP_PATH environment variable has been set. That way the end user can have different help files for different applications and different client computers - by placing the files where needed and setting the CWD appropriately.

While it may be a good idea to set the executable path under the "Program Files" directory (or in Linux: "/usr/local/bin"), it is probably better to set the CWD somewhere else.  That way you can create, rename, and rearrange, directories and files well away from the executables that make your computer go.

I believe that my shortcut is right and that's part of the reason I am still confused:

The Target is: 
"C:\Program Files\Sesame\Program\sesame.exe"

Start in is:
"C:\Program Files\Sesame\"