As far as I know, not with the built-in commands in Windows.
[**Take Command Console LE**][1], a command interpretor compatible with cmd.exe, can save variables as System and User variables. Check the SET command with the /S and /U parameters respectively.
set /s sysvariable=whatever
set /u uservariable=whatever
I've not used it but [**Rapid Environment Editor**][2] looks good and is free.
![alt text][3]
[1]: http://www.jpsoft.com/tccledes.htm
[2]: http://www.rapidee.com/en/about
[3]: http://www.rapidee.com/images/rapidee.png