What you can do is set your default database using the sp_defaultdb system stored procedure. Log in as you have done and then click the New Query button.
After that simply run the sp_defaultdb command as follows:
Exec sp_defaultdb @loginame=’login’, @defdb=’master’
C:\> sqlcmd -E -d master
1> sp_defaultdb @loginame=’domain\login’, @defdb=’master’
2> GO