Manually, right click "My Computer", select Properties
selection, click Advanced tab and select 'Environment
button'. The presented dialog will allow you to change
user and system variables.
Automated hacks to the registry using a .reg file or via a
WSH script are also possible, but your question is too
vague to address either of these.
I always use the command line utility Pathman.exe to modify the path
programmatically (NT4, Win2k and WinXP). It will e.g. handle repeated entries
correctly. A logoff/logon is necessary to see the changes.
Here is the one from the free part of the Windows 2000 Resource kit
(It works on WinXP and Win Nt 4.0 as well):