From http://superuser.com/questions/79612/setting-and-getting-windows-environment-variables-from-the-command-prompt

new_gist_file

To make the environment variable accessible globally you need to set it in the registry. As you've realised by just using:  

set NEWVAR=SOMETHING  

you are just setting it in the current process space.  According to this page you can use the setx command:  

setx NEWVAR SOMETHING  

setx is built into Windows 7, but for older versions may only be available if you install the Windows Resource Kit