On MS-Windows, the installation program addpm.exe adds values for emacs_dir, EMACSLOADPATH, EMACSDATA, EMACSPATH, EMACSDOC, SHELL and TERM to the HKEY_LOCAL_MACHINE section of the system registry, under /Software/GNU/Emacs. It does this because there is no standard place to set environment variables across different versions of Windows. Running addpm.exe is no longer strictly necessary in recent versions of Emacs, but if you are upgrading from an older version, running addpm.exe ensures that you do not have older registry entries from a previous installation, which may not be compatible with the latest version of Emacs.
When Emacs starts, as well as checking the environment, it also checks the System Registry for those variables and for HOME, LANG and PRELOAD_WINSOCK.
To determine the value of those variables, Emacs goes through the following procedure. First, the environment is checked. If the variable is not found there, Emacs looks for registry keys by that name under /Software/GNU/Emacs; first in the HKEY_CURRENT_USER section of the registry, and if not found there, in the HKEY_LOCAL_MACHINE section. Finally, if Emacs still cannot determine the values, compiled-in defaults are used.
In addition to the environment variables above, you can also add many of the settings which on X belong in the .Xdefaults file (see X Resources) to the /Software/GNU/Emacs registry key.