You have a number of possibilities for this:
1. from a command prompt (the same that is used for starting your program otherwise it won't work): SET EXTFH=... <Enter>, after this start your program from the same command prompt.
2. In your program, before any file is opened:
01 ENVVARNAME PIC X(06) VALUE "EXTFH" & X"00".
01 ENVVARVALUE PIC X(...) VALUE "<Your extfh.cfg>" & X"00".
...
CALL "SetEnvironmentVariableA"
USING BY REFERENCE ENVVARNAME
BY REFERENCE ENVVARVALUE.
3. (NT/2000/XP)
Right-click "My computer" and select "Properties"
Choose page "Advanced"
Click on "Environment" (Must be something like this, i have another language on the system).
Add the environment variable by clicking "New"
4. (95/98/ME)
Add the SET EXTFH=.. to the autoexec.bat file.
I would prefer method 2, because that makes your program always work, without setting things different first. Also it will not bother the rest of the system.
Marcel