As others have done, creating new System variables M2 and M2_HOME solved the problem. Just making User variables M2 and M2_HOME on my Windows XP machine led to maven not being recognised from the command line. I then deleted the User variables, created copies as System variables and it all came to life.
This was apache-maven-3.0.4 with XP sp3.
So the instructions in: http://maven.apache.org/download.cgi seem incorrect.