This page says I can turn auto-update off by using the following command: SFDX_AUTOUPDATE_DISABLE and gives a Unix example.

I'm running windows, where do I actually set this? I don't see a config file in the sfdx Program Files directory

https://developer.salesforce.com/docs/atlas.en-us.sfdx_setup.meta/sfdx_setup/sfdx_setup_update_cli.htm