Under Windows these variables can be set from the Control Panel. For example in the case of Windows XP:
Start menu -> Control panel -> System -> Advanced -> Environment variables
After changing the environment variables a new console (Command Prompt) should be opened so the changes can take effect.
The variables are usually set in a profile file for the used shell (e.g. ".bash_profile").
To check the current setting of an environment variables, type "set" in the console. To print a specific variable type "echo $VARIABLE_NAME".