Under FreeBSD, I launch ssh-agent in my .xsession script and its
environment is automatically inherited by every shell I then open in my
X11 session.
No such luck with Windows, but I found a way to propagate a environment
variable to any (future) user process after the user is already logged.
(or, at the very least...) Works for me.

Variables will be then available on any shell and program opened after
the attached script is executed.
(put it in "Startup" menu in order to execute it at logon time)

-- 
Lapo Luchini
lapo@lapo.it (OpenPGP & X.509)
www.lapo.it (Jabber, ICQ, MSN)