[XeTeX] xelatex does not find pdf graphics ?

[Michael Gedalin]

I tried to include a pdf graphics using
\usepackage[xetex]{graphicx}
...
\includegraphics{filename.pdf}

The file resided in the same directory where all my style files are. 
Usual latex/pdftex found the file without problem. xetex found it only 
when I copied the file to the same directory where the tex file was. Is 
this a bug or something is wrong in my installation ?
******************************************
* Michael Gedalin
* Department of Physics
* Ben-Gurion University
* 84105 Beer-Sheva, Israel
* tel: 972-8-6461645
* fax: 972-8-6472904
* email: gedalin at bgumail.bgu.ac.il
* http://burster.bgu.ac.il/~gedalin
*******************************************