The variable is set. The problem you are facing is that you are setting the variable in a different process.

In Unix, if process A calls process B, process B cannot set of modify the environment variables of A. This is generally considered to be a feature (as allowing B to modify the environment of A would make A vulnerable to all kinds of security problems).

AFAIK, this is true on Windows as well. I vaguely remember the faq mentioning it would be possible under VMS, but if it ever did, it hasn't mentioned this for at least a decade.