When you use EnvironmentVariableTarget.Process the variable set will only visible in the current process as you can see in this sample:
System.Environment.SetEnvironmentVariable("myVar", "myValue", EnvironmentVariableTarget.Process);
string s = System.Environment.GetEnvironmentVariable("myVar",EnvironmentVariableTarget.Process);
Above myVar will show s = "myValue" but not visible in command window.
If you want to set the value visible at command windows then you need to use EnvironmentVariableTarget.User:
System.Environment.SetEnvironmentVariable("myVar", "myValue", EnvironmentVariableTarget.User);
This way the setting myVar=myValue will be stored and then you can see on command windows.
A detailed sample is located here
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