You are not doing anything wrong, that is how Filemaker is setup to work. You can use Move/Resize script step to move the window to a new location.
This is the formula I use in the Move/Resize script step :
distance from top : (Get(WindowDesktopHeight)-Get(WindowHeight))/2
distance from left : (Get(WindowDesktopWidth)-Get(WindowWidth))/2
You can also use similar calculations in the New Window script step to specify the position of the new window if you know the dimensions of the window in advance (this is not always the case).
I really wish FM had a reference for new windows to open in relation to a current window instead of the the desktop. Really a big pain to deal with. Anther useful feature request that will never be implemented.