Have you rebootet? I add the {app} directory to the Path variable in the
registry; this is read out at startup, not when you start cmd.exe (well, it's
Windows, you are supposed to reboot ;-).
Environment variables should take effect in new Command Prompt windows, they don't require a restart.
Example:
Command Prompt
C:\> echo %VAR%
%VAR%
Start -> My Computer (right click) -> Advanced system settings -> Environment Variables... -> New -> VAR, content -> OK -> OK -> OK
New Command Prompt
C:\> echo %VAR%
content
I'm not sure how the installer is attempting to modify environment variables, but there are better ways than others to do so, so that users don't have to reboot just to setup gforth. So Windows 95.