To make the environment variable accessible globally you need to set it in the registry. As you've realised by just using:

set NEWVAR=SOMETHING

you are just setting it in the current process space.

According to this page you can use the setx command:

setx NEWVAR SOMETHING

setx is built into Windows 7, but for older versions may only be available if you install the Windows Resource Kit

The SETX command can modify environment variables persistently:

Setx provides the only command-line or programmatic way to directly and permanently set system environment values.

It's quite a powerful tool but read the notes carefully on that page though because there are a few little catches to using it.

Note: After seeing lots of comments about setting environment variables without administrator rights in Windows 10, I think I have found a way. I was not administrator and could use PowerShell.

PowerShell method

You can list all environment variables with: Get-ChildItem Env:.

To get the value of a specific variable: $Env:PATH, where PATH is the name of the variable.

To set a variable: [Environment]::SetEnvironmentVariable("PATH", "C:\TestPath", "User"), the first parameter is the name of the variable, the second is the value, the third is the level of.

There are different ways to work with environment variables and certain quirks with them in PowerShell so consult the link for details.

Old method (no longer available in newer Windows 10 updates, use PowerShell or see other answers)

Go into Settings and click on System.

Then on the left side click About and select System info at the bottom.

In the new Control Panel window that opens, click Advanced system settings on the left.

Now in the new window that comes up, select Environment Variables... at the bottom.

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.

Option 1

After you change PATH with the GUI, close and reopen the console window. This works because only programs started after the change will "see" the new PATH. This is because when you change the PATH environment variable using the GUI tool, it updates the variable for future processes but not for anything currently running.

Option 2

This option only affects your current shell session, not the whole system. Execute this command in the command window you have open:

set PATH=%PATH%;C:\your\path\here\

This command appends C:\your\path\here\ to the current PATH. If your path includes spaces, you do not need to include quotation marks.

Breaking it down:

• set – A command that changes cmd's environment variables only for the current cmd session; other programs and the system are unaffected.
• PATH= – This signifies that PATH is the environment variable to be temporarily changed.
• %PATH%;C:\your\path\here\ – The %PATH% part expands to the current value of PATH, and ;C:\your\path\here\ is then concatenated to it. This becomes the new PATH.

Here’s how I’ve done it many times via command line. Run setx /? at a cmd prompt for all the options. /M makes it a system wide variable.

Ex.
ORACLE_HOME is the variable name.
The C:\ path is the value of the variable.

SETX ORACLE_HOME C:\Oracle\product\11.2.0\instantclient_11_2 /M