Oracle Database Discussions

I am totally confused with this new expdp command
I am trying to convert my export scripts to expdp

Can someone tell me how to set the DATA_PUMP_DIR variable so that i can designate where i want my dumps to go to ? I do NOT want to use the oracle directories unless i have to. I would like to set the location before i do the dump and am not having any luck. Here is what i have tried in WINDOWS environment

created E:\Oracle_Data_Pump_Files directory at OS level

set DATA_PUMP_DIR=E:\Oracle_Data_Pump_Files

E:\oracle\product\10.2.0\db_1\BIN\expdp test/pass@orcl dumpfile=orcl.dmp logfile=orcl.dmp.log

error:

Connected to: Oracle Database 10g Enterprise Edition Release 10.2.0.1.0 - Production
With the Partitioning, OLAP and Data Mining options
ORA-39002: invalid operation
ORA-39070: Unable to open the log file.
ORA-39087: directory name E:\Oracle_Data_Pump_Files is invalid

Any assistance would be appreciated

Thanks
Jim