screen doesn't know about cd as it is a shell builtin, so screen can't execute it. However, screen has a builtin command of chdir. If you execute chdir by itself from the screen command line, all new windows in the screen session will start in your $HOME. If you execute chdir /home/cataldo/Programs from the screen command line, all new windows in the screen session will start in /home/cataldo/Programs.
If you want to open 3 windows in different directories when you start a new screen session, in your ~/.screenrc define the directory with chdir and then immediately start a new window.
# Start these windows when screen starts up
chdir /home/cataldo/Programs
screen 0
chdir /usr/local/bin
screen 1
chdir /tmp
screen 2
chdir
From man 1 screen (pay attention to the last line)
chdir [directory]
Change the current directory of screen to the specified directory or,
if called without an argument, to your home directory (the value of
the environment variable $HOME). All windows that are created by means
of the "screen" command from within ".screenrc" or by means of "C-a :
screen ..." or "C-a c" use this as their default directory. Without a
chdir command, this would be the directory from which screen was invoked.
Hardcopy and log files are always written to the window's default
directory, not the current directory of the process running in the window.
You can use this command multiple times in your .screenrc to start
various windows in different default directories, but the last chdir value
will affect all the windows you create interactively.