Which means you don't currently have an APPDATA environment variable, and that's a problem. Check this out - from the machine on which I'm currently sitting:
Originally Posted by PeraFG
In other words, there ought to be an APPDATA environment variable in your profile, and it ought to by default point at the\AppData\Roaming folder under your profile. Otherwise, when you "echo" something that doesn't exist as an environment variable, the same sequence of characters just gets returned. Typing SET should allow you to confirm that there's no APPDATA in that list, and that would be the cause of your error message.
It's not clear why that might happen - at least to me - but the course of action seems simple: create an APPDATA environment variable and point it where it should go. Alternatively, if damage to your profile seems more pervasive (more things are broken), create another user profile and use that to log on instead.
In Control Panel, System applet, "Advanced" tab, click the "Environment Variables..." button. Under "user variables" add APPDATA and set it to
%USERPROFILE%\AppData\RoamingOK your way out of that and then reboot. Of course, that won't work if %userprofile% is also missing on your machine, so check whether that exists in the SET output.
You shouldn't have to mess with these things at all. If you've used "registry cleaners" or anything similar, that may be the cause.