In Windows, it is stored in the Registry... check here: "HKEY_CURRENT_USER\Software\Bitcoin\Bitcoin-Qt"
There is an entry labelled: "strDataDir" that stores the datadir that Bitcoin-Qt will attempt to use if you do not specify it using the -datadir option on the commandline/shortcut
Thank you very much, this is exactly the answer I was looking.
So this means, If I install a second Bitcoin Core (and another data dir) in the same disk, they will both share this registry key and only 1 datadir location will be used by both clients.
Then, the best thing to do (if i wanted to have a second wallet), is to use 2 different shortcuts, one for:
Shortcut one for (H:\mainwallet\bitcoin-0.15.1\bin\....exe) with -datadir to --> (H:\mainwallet\maindirectory\bitcoin).
Shortcut two for (H:\secondwallet\bitcoin-0.15.1\bin\...exe) with -datadir to --> (H:\secondwallet\maindirectory\bitcoin).
And I should still run these 2 shortcuts at different time (never at the same time), because they might share other registry keys as well.