When I use the run prompt in Windows XP Professional (Win+R), and type python.exe or python, it works and greets me with the python prompt.

However, when I start a cmd window, and then type python.exe or python, it doesn't find it.

This is what I expect, as the Python directory (for me, I:\Python31\) is not in my PATH.

How come, then, that if I type python.exe in the Win+R prompt, it works?

Edit: here is a partial output of SET, I removed most irrelevant entries, I'm not sure why is it useful, apart from the PATH variable which I already said doesn't include the Python directory. If you need a particular variable other than these, please ask.

CLIENTNAME=Console
CommonProgramFiles=I:\Program Files\Common Files
ComSpec=I:\WINDOWS\system32\cmd.exe
FP_NO_HOST_CHECK=NO
OS=Windows_NT
Path=I:\WINDOWS\system32;I:\WINDOWS;I:\WINDOWS\system32\WBEM;I:\WINDOWS\system32\WindowsPowerShell\v1.0;I:\Qt\2010.05\mingw\bin;I:\Program Files\CMake 2.8\bin
PATHEXT=.COM;.EXE;.BAT;.CMD;.VBS;.VBE;.JS;.JSE;.WSF;.WSH;.PSC1
ProgramFiles=I:\Program Files
PROMPT=$P$G
SESSIONNAME=Console
SystemDrive=I:
SystemRoot=I:\WINDOWS
VBOX_INSTALL_PATH=I:\Program Files\Oracle\VirtualBox\
windir=I:\WINDOWS