You can modify the configuration file fonts.conf of fontconfig library.
TeX Live
For TeX Live 2011, if you install it in e.g. C:\texlive, open C:\texlive\2011\texmf-var\fonts\conf\fonts.conf, there should be these lines:
<!--
Find fonts in these directories
You can add other directories if you have additional fonts.
Example:
<dir>C:/Windows/fonts</dir>
<dir>c:/usr/local/share/texmf/fonts/opentype/dnscreen/hiragino</dir>
<dir>c:/usr/local/share/texmf/fonts/opentype/adobe/kozuka</dir>
-->
<dir>C:/Windows/fonts</dir>
<dir>C:/texlive/2011/texmf-dist/fonts/opentype</dir>
<dir>C:/texlive/2011/texmf-dist/fonts/truetype</dir>
You can add some lines as you wish.
MiKTeX
If you are using MiKTeX (installed in C:\miktex for example), you can see C:\miktex\fontconfig\config\fonts.conf and follow guide lines in the comments of the file. In fact, you should then open localfonts.conf to see the predefined directories, and then create a localfonts2.conf to add your own paths.
In fonts.conf:
<!--
DO NOT EDIT THIS FILE.
IT WILL BE REPLACED WHEN FONTCONFIG IS UPDATED.
LOCAL CHANGES BELONG IN 'local.conf'.
The intent of this standard configuration file is to be adequate for
most environments. If you have a reasonably normal environment and
have found problems with this configuration, they are probably
things that others will also want fixed. Please submit any
problems to the fontconfig bugzilla system located at fontconfig.org
Note that the normal 'make install' procedure for fontconfig is to
replace any existing fonts.conf file with the new version. Place
any local customizations in local.conf which this file references.
Keith Packard
-->
<!-- Font directory list -->
<include>C:\miktex/fontconfig/config/localfonts.conf</include>
And this is localfonts.conf:
<?xml version="1.0" encoding="UTF-8"?>
<!--
DO NOT EDIT THIS FILE! It will be replaced when MiKTeX is updated.
Instead, edit the configuration file localfonts2.conf.
-->
<fontconfig>
<include>localfonts2.conf</include>
<dir>C:\Windows\Fonts</dir>
<dir>C:\miktex\fonts\type1</dir>
<dir>C:\miktex\fonts\opentype</dir>
</fontconfig>
fonts.confdirectly. – Leo Liu Feb 23 '12 at 04:53