hmmm, apparently it's part of the documentation<replace>I failed to find it</replace> in the morass below technet that's disappeared but C:\>setx /? (which I should have also tried) is still extant and your search using ATTRIB also works (and is a revelation to /me).
C:\>attrib /s %systemroot%\setx.exe
A C:\Windows\System32\setx.exe
A C:\Windows\winsxs\x86_microsoft-windows-setx_31bf3856ad36
+4e35_6.1.7600.16385_none_ac4d2bf27a63f85f\setx.exe
The click-sequence for setting %PATHEXT% via COMPUTER (which is in START; I have already forgotten if I deleted the "My Computer" icon from my desktop or if was never there) has been, as you speculated, subject to a few revisions:
COMPUTER is however, now a default item in Win7|START, and works under Win7 as I outlined above
(Thanks, M$; do you do this deliberately to confuzelate the simpleminded, like /me?)
Update in the <strike...</replace> sequence
