HKEY_CURRENT_USER \ Environment
HKEY_LOCAL_MACHINE \ SYSTEM \ CurrentControlSet \ Control \ Session Manager \ Environment
Note that RegEdit.exe does not have a way to add REG_EXPAND_SZ. Use RegEdt32.exe when editing these values manually.
However, note that modifications to the environment variables do not result in immediate change. For example, if you start another Command Prompt after making the changes, the environment variables will reflect the previous (not the current) values. The changes do not take effect until you log off and then log back on.
To effect these changes without having to log off, broadcast a WM_SETTINGCHANGE message to all windows in the system, so that any interested applications (such as Windows Explorer, Program Manager, Task Manager, Control Panel, and so forth) can perform an update.