The file handler mapping procedure to environment variables should be identical between native and managed code applications.
I just tested here using VC 2.3 and it works in a managed code project by setting the dd_OLD environment variable either in the app.config file or directly in the environment of the computer.
I used:
select test-file assign to "OLD\testfile.dat"
and set dd_OLD = C:\temp
and when I opened the file it correctly found c:\temp\testfile.dat
What product version are you using?