You'll need to put curl.exe in a directory within your path, such as c:\WINDOWS\ (type PATH to see all the directories in your system path) or put it in its own directory, then add that directory to your path.
For example, if you put curl.exe within C:\Utils, you can add this directory to your path by typing:
SET PATH=%PATH%;C:\Utils
To make this permanent, go to Control Panel / System and Security / System, click on Advanced System Settings, click Environment Variables, and modify the "Path" variable under System Variables. Just stick ;C:\Utils at the end.