Or you can just use PowerShell, which allows you to manipulate all kinds of things in a filesystem-like manner (PSProviders):

Get-ChildItem env:

New-Item -Path "env:\myvar" -Value "MyValue"

Amongst other things, it works for the registry and even Active Directory.

Edit: for persistency you actually need to use [Environment]::SetEnvironmentVariable("TestVariable", "Test value.", "User")

I answered an interesting SO question on that recently, which asked how to save and restore the environment in PowerShell. Turns out, the environment being in a PSDrive helps very much with that because you can treat the variables just like you treat files:

    # Save environment
    $savedState = Get-ChildItem Env:

    # Restore environment
    Remove-Item Env:*
    $savedState | ForEach-Object { Set-Content Env:$($_.Name) $_.Value }