The way I achieve this in 3.5(3) for a prompt directory called NewPrompts and a prompt file called Prompt1.wav, located under the ...prompts\user\en_us folder is as follows:
Define a string variable called stringPromptDir and set it to U"NewPrompts\\" (the U specifies that you are using a special unicode character in the string, which you precede with a '\').
I then declare stringPromptName, setting it to "Prompt1.wav", and add the step
set stringPromptName = stringPromptDir + stringPromptName. The new value of stringPromptName is now "NewPrompts\Prompt1.wav".
In the Play Prompt step, on the Prompt tab, I enter stringPromptName. Works like a charm for the Holiday handler I wrote this past weekend.