For those, who like me, still uses "legacy" version of Windows 10 and was slightly confused by explanations in Installation Notes for CDP.
As it's a bit different from how it is done in up to date versions of Windows 10 (and different from pre-win10 experience as well), steps are following...
In upper field you can see "Path" variable, choose it and click "edit...", then it opens a table of various paths, from there you choose "create..." and input C:\CDPR8\_cdp\_cdprogs (or what you have instead) and then confirm it.