Add the Pro/E loadpoint/bin directory to your opperating system search path environment variable. Then you can run the commands in any folder.
If you have Windows 2000 you can do the following (XP is similar but I forget the differences). Note that for some reason, if you screw this up you can't undo it, you have to do a regedit!
Add a new file type action to the Folder file type (NOT File Folder, don't ask me why there are 2 of the same thing or what the difference is).
Action: Command
Application used to perform action: cmd.exe "%1"
This will let you right click on any folder icon and start a command window so you can run purge or any other executable in that directory.
You can also search for PURGE and see how some people have added that to their Folder actions directly but I prefer to open a command window because I can then do any command. I guess my Unix roots are showing.