<p>The XP Support Tools (which can be installed from your XP CD) come with a program called <code>setx.exe</code>:</p>
<pre><code class="lang-auto">C:\Program Files\Support Tools>setx /?
SETX: This program is used to set values in the environment
of the machine or currently logged on user using one of three modes.
1) Command Line Mode: setx variable value [-m]
Optional Switches:
-m Set value in the Machine environment. Default is User.
...
For more information and example use: SETX -i
</code></pre>
<p>I think Windows 7 actually comes with <code>setx</code> as part of a standard install.</p>