SetEnv sets the environment variables for the current command line window. If you close that window and open another, you need to re-run SetEnv in that session to be able to use the compiler.

If you prefer the compiler enabled in all commnd line sessions across reboots, you can run it in one session, and then copy the path, include and lib setting from there into your system settings via:

Start->settings->controlPanel->AdvancedSystemSettings->EnvironmentVari
+ables
[download]

And set them either just for the current user, or system wide.