setting an environmental variable from command prompt

I live in the Linux world, so this might be a stupid question to Windows users.

I need to set an environmental variable. I know I can do this through the control panel, but what a pain in the ass.

If I open a command prompt and use the "set" command, the variable seems to last only as long as the commend prompt session is open.

How do I set an environmental variable from the command prompt so that it lives beyond the command prompt session?

And while I'm at it, can someone recommend a book that explains how the Windows OS works? I'm not looking for a "Windows for Dummies" presentation, but one that goes a little deeper ... something akin to "Linux in a Nutshell".

The link shows how to set a variable through the Command Panel. My question is: Can an environmental variable be permanently set from the command prompt?

Thanks a million, LogicEarth!

Can you recommend a good book that explains how the Windows OS works? Something like "Linux in a Nutshell", not "Windows for Dummies"?