Trecho da ajuda do Windows PowerShell:
To make a persistent change to an environment variable, use System in
Control Panel (Advanced tab or the Advanced System Settings item) to
store the change in the registry.
When you change environment variables in Windows PowerShell, the change
affects only the current session. This behavior resembles the behavior
of the Set command in Windows-based environments and the Setenv command
in UNIX-based environments.
Para detalhes completos, digite o seguinte comando:
get-help environment -ShowWindow