You can do this in a number of different ways...
First, you have to decide whether you want this variable to be set globally for all users, or that it will suffice for just your single account. As it appears that you are using the bash shell, I won't go into the second part of determining which shell you are using.
Now, to set it for a global variable that everyone gets, you need to edit /etc/bash.bashrc and add that line to it.
If you are just setting it for yourself, you should be able to simply edit your own .bashrc file in your home directory (~/.bashrc). One little gotcha is that you need to be sure that your .bash_profile file references your .bashrc file properly. I have seen installations where the execution of the things in .bashrc are commented out in .bash_profile by default, and you have to go in and change this on your own. If it is commented out, it will look something like this in ~/.bash_profile:
# include .bashrc if it exists
#if [ -f ~/.bashrc ]; then
# . ~/.bashrc
Just remove the "#"'s and you should be good to go with that little problem.