How to add something to PYTHONPATH?

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I downloaded a package (called pysolr 2.0.15) to my computer to be used with Haystack. The instructions asks me to add pysolr to my PYTHONPATH.

What exactly does that mean? After extracting the pysolr files, I ran the command python setup.py install and that's about it. What did that do and do I need to do anything else?

Thanks for the help!

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