Thanks, meskibob and chocolateboy!
Now I learned how to use Windows environmental variable.
I came up with another questions. Please help me understand.
How can you run the multiple servers with different PMS.conf on the defined Windows environmental variable? It seems you could only launch the server with one PMS.conf because you could only define one Windows environmental variable. Although, I do know how to do it in the GUI version.
Also, how do I use pms.profile.path property? I just want to know if I could change the default PMS.conf path to where I want ultimately so that I don't even have to think about changing the Windows environmental variable after reinstalling the OS. I saw inside PMS.jar and found few property file but it was binary and uneditable.