Go in your home directory and then issue this command:
Do you see any of these files?
-rw-r--r-- 1 lsadm lsadm 176 Oct 21 2008 .bash_profile
-rw-r--r-- 1 lsadm lsadm 124 Oct 21 2008 .bashrc
or ".profile" or ".sh_profile"?
Edit any of them and set and export your variables in ".bash_profile", for example.
Next time you will log in, you will get the variable's value.
To make the changes effective without logging out and logging again, do this: