I think you are refering to NT/2000 environment variables which setup slightly diffirent from 95/98/ME. These variables are set in the registry vs. Autoxec.bat. For example system environment varibles are st under the follofing Reg Key:
HKLM\SYSTEM\CurrentControlSet\Control\Session Manager\Environment

You can add the values to this key and as Jim said: you have to restart the shell, i.e. reboot.