No, he means the system environment variable PATH, which controls how the Windows GUI and CMD.EXE/COMMAND.COM search for executable files.
Strangely enough, I couldn't find a simple EXE file to do the job. You have three choices, it seems:
1) Remove PATH-dependance from the program (probably not a viable option)
2) Write your own little tool to set the PATH on Windows systems (add "SET PATH=%PATH%;c:\blah" to autoexec.bat for Win9x *and* find the right WinNT API call)
3) Beg someone else to do choice #2 ;(