I got the file DJGPP.ENV from unxipping the package djdev302.zip.I also ran go32-v2. Its output is:
>>go32/v2 version 2.0 built Dec 24 2001 21:25:02
>>usage:go32 coff-image [args]
>>Rename this to go32.exe only if need a go32 that can run v2 binaries as well >>as v1 binaries (old makefiles). Put ahead of the the old go32 in your PATH >>but do not delete your old go32 - leave it in the PATH after this one.
>>set GO32-V2_DEBUG=y in the environment to get verbose output.
>>memory available : 664293 KB.
>>swap space available: 0 KB
My PC laptop  is a Compaq Presario, on XP pro.
Thanks.

I found out my own mistake!. I mis-typed the environment variable.
Instead of djgpp.env I typed dgjpp.env.
As they say, the stupider the error, the more difficult to fix it.
Sorry to have posted such a tiny little thing!.