Windows equivalent of $export

To translate your *nix style command script to windows/command batch style it would go like this:

SET PROJ_HOME=%USERPROFILE%/proj/111
SET PROJECT_BASEDIR=%PROJ_HOME%/exercises/ex1
mkdir "%PROJ_HOME%"

mkdir on windows doens't have a -p parameter : from the MKDIR /? help:

MKDIR creates any intermediate directories in the path, if needed.

which basically is what mkdir -p (or --parents for purists) on *nix does, as taken from the man guide

There is not an equivalent statement for export in Windows Command Prompt. In Windows the environment is copied so when you exit from the session (from a called command prompt or from an executable that set a variable) the variable in Windows get lost. You can set it in user registry or in machine registry via setx but you won't see it if you not start a new command prompt.