You need to update your C:\AUTOEXEC.BAT to include the following lines:

set PATH=C:\DJGPP\BIN;%PATH%
set DJGPP=C:\DJGPP\DJGPP.ENV

Note that the PATH statement should follow any other PATH statements, or you may edit an existing PATH statement.

You'll need to restart your computer for these changes to take effect.

Rather than edit your autoexec files and/or global environment, you may wish to create a djgpp shortcut instead. To do this, create a c:\djgpp\djgpp.bat that has lines like this:

@echo off
set PATH=c:\djgpp\bin;%PATH%
set DJGPP=c:\djgpp\djgpp.env
chdir c:\djgpp\mystuff   (or any other directory)
command

(you can replace that last line with any other shell you'd like)