You can create a new one; the comment above only means: "If there already is one, don't just overwrote the current value".
That said, I don't like changing global environment variables much. First of all, you must not forget to restart all command prompts because existing ones don't get new variables.
My preferred solution is to create a .cmd
/.bat
file which contains:
set PYTHONPATH=...whatever your code needs...
python ...and start your Python code here...
That way the variable will be there when you expect it, no matter when and from where you start the script and it will not interfere with other stuff that you might also have.