In the MSDN article I conveniently linked, there is the following paragraph:

Calling SetEnvironmentVariable has no effect on the system environment variables. To programmatically add or modify system environment variables, add them to the HKEY_LOCAL_MACHINE\System\CurrentControlSet\Control\Session Manager\Environment registry key, then broadcast a WM_SETTINGCHANGE message with lParam set to the string "Environment". This allows applications, such as the shell, to pick up your updates.

From that, I would assume that no luck is needed in finding the appropriate place.