I think they meant the Window's Control Panel>System>Advanced System Settings. Under the Advanced tab is the Environment Variables button. When that window pops up, under the System Variables section, click new and enter the variable name and the value below.

Or you could create a Maya.env(which can be a regular text file with the txt extension changed to .env), in it just add MAYA_MRFM_SHOW_CUSTOM_SHADER = 1 and put that file in your maya/version folder. You can back that up and port it around, beats having to alter whatever OS you're using.

Also, is there a reason why you're using that shader instead of the mia_lens_bokeh?(the article is from 2007)