Set a persistent environment variable from cmd.exe

Use the SETX command (note the 'x' suffix) to set variables that persist after the cmd window has been closed.

For example, to set an env var "foo" with value of "bar":

setx foo bar

Though it's worth reading the 'notes' that are displayed if you print the usage (setx /?), in particular:

2) On a local system, variables created or modified by this tool will be available in future command windows but not in the current CMD.exe command window.

3) On a remote system, variables created or modified by this tool will be available at the next logon session.

In PowerShell, the [Environment]::SetEnvironmentVariable command.

:: Sets environment variables for both the current `cmd` window 
::   and/or other applications going forward.
:: I call this file keyz.cmd to be able to just type `keyz` at the prompt 
::   after changes because the word `keys` is already taken in Windows.

@echo off

:: set for the current window
set APCA_API_KEY_ID=key_id
set APCA_API_SECRET_KEY=secret_key
set APCA_API_BASE_URL=https://paper-api.alpaca.markets

:: setx also for other windows and processes going forward
setx APCA_API_KEY_ID     %APCA_API_KEY_ID%
setx APCA_API_SECRET_KEY %APCA_API_SECRET_KEY%
setx APCA_API_BASE_URL   %APCA_API_BASE_URL%

:: Displaying what was just set.
set apca

:: Or for copy/paste manually ...
:: setx APCA_API_KEY_ID     'key_id'
:: setx APCA_API_SECRET_KEY 'secret_key'
:: setx APCA_API_BASE_URL   'https://paper-api.alpaca.markets'

Indeed SET TEST_VARIABLE=value works for current process only, so SETX is required. A quick example for permanently storing an environment variable at user level.

1. In cmd, SETX TEST_VARIABLE etc. Not applied yet (echo %TEST_VARIABLE% shows %TEST_VARIABLE%,
2. Quick check: open cmd, echo %TEST_VARIABLE% shows etc.
3. GUI check: System Properties -> Advanced -> Environment variables -> User variables for -> you should see Varible TEST_VARIABLE with value etc.

The MSDN documentation for environment variables tells you what to do:

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.

You will of course need admin rights to do this. I know of no way to broadcast a windows message from Windows batch so you'll need to write a small program to do this.