The whole design of Java is to make platform independent bytecode files (.jar) that can be run on any computer that has a JVM. This way you can compile your .jar on your microsoft system, email it to your friend who has a Mac and he can run it as long as he has the JVM installed on his Mac. That may not seem important to you in the context of your project but it is a major design consideration for other people which is why Java is such a common language.
My recommendation is to create a directory where you make batch programs that make your life easier at the command line, put that directory in your Path so it will get checked no matter which directory you are in. Then when writing the batch program fully qualify the location of your jar. Also if you are just doing a one off temporary project you can also just hit the up arrow to reenter the last command used.
One thing you need to realize as a programmer is that there are all kinds of tools that are available. They all have their strengths and weaknesses, its pointless to complain about your tools, you can either choose a different one, learn to use the current one better or design a new one. If you decide to learn a different one you will most likely find that you just really traded one set of things you didn't like for a different set of things you don't like.
Also if you are just doing a one off temporary project you can also just hit the up arrow to reenter the last command used.