Working with the command prompt on Windows is messy. Working with multiple versions of a language or compiler on Windows is extremely challenging and frustrating.
If you develop with Python, Ruby, Java, or any language where you need different versions for different projects, you know the pain. You might need Python 2.4 for one project, Python 2.5 for another, and want to try out the upcoming Python 2.6 or even the new Python 3.0. Switching between them shouldn't require system-wide configuration changes every time.