[EDIT: 2010/10/05]
Oops, I've been using TCC/LE by JPSoft as my shell... the following doesn't work in the normal command prompt
[/EDIT]
I just had a look at SET and it lets you set user/system variables:
Display, create, modify, or delete environment variables.
SET [/A /D /E /P /R file... /S /U /V /X] [name[=][value ]]
file: One or more files containing variable definitions
/A(rithmetic) /S(ystem variables)
/D(efault variables) /U(ser variables)
/E(nv vars) /V(olatile variables)
/R(ead from file) /X override VariableExclude
/P(ause)
So to set save a variables MYAPP_HOME as the current directory, just do
SET /U MYAPP_HOME=%CD
Wish I'd have looked that up a few years ago, it'll save a few seconds next time I need to setup some dev sdk :)