The XP Support Tools (which can be installed from your XP CD) come with a program called setx.exe
:
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
I think Windows 7 actually comes with setx
as part of a standard install.