$_SERVER['CI_ENV'] -- where is and ENVIRONMENT this set?

It depends on what webserver you're using. If it's apache, you can place it in the main apache.conf, or the conf for your vhost.
http://httpd.apache.org/docs/2.2/env.html#setting

As far as where ENVIRONMENT is set, there's only one place and that's in the main index.php file. Everywhere else you check for (example)
if (ENVIRONMENT == 'production')
if (ENVIRONMENT == 'development')
etc