From what directory should "drush cc all" command be run? I've always ran drush cc all this way:

 C:\example\sites\all\modules&gt;drush cc all


But can I also run it this way?

 C:\example&gt;drush cc all


Does the second option fully clear the cache and the first one only the modules cache?

I never thought about this, always did it the first way...)
It's irrelevant. The command:

drush cc all 


clears all caches. The directory has no affect on what is cleared. If you want to target modules use:

drush cc module-list


Or if you want to target another cache use:

drush cc


which will prompt you for a cache to target.