You put "-mod:my_dir" on the command line, which will cause the game to look first in my_dir and then in data. Note that this applies for the most part only to the descr_ / export_descr_ files and the contents of the world directory, and a few others. The original idea being that when you did a mod you'd install all your new files into my_dir and create a shortcut to rtw.exe with which to run your modded version of the game.
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