I'm trying to change my PYTHONPATH. I've tried to change it in "My Computer" etc, but it doesn't exist there. I searched in the registry in some places, and even ran a whole search for the word 'PYTHONPATH', but to no avail.
However, it Python I can easily see it exists. So where is it?
You need modify your environment variables.  How to do this depends on which version of Windows you have.
If the PYTHONPATH variable doesn't exist, you have to create it.  It might not exist if you haven't already created it.
Can't find my PYTHONPATH