Thanks.

I added a testcase and checked this in.
[I renamed py-param.exp -> py-parameter.exp too.]

2010-11-05  Doug Evans  <dje@google.com>

        Make gdb.parameter("directories") work.
        New command "set directories".
        * NEWS: Document them.
        * source.c (set_directories_command): New function.
        (show_directories_1): Renamed from show_directories.
        All callers updated.
        (show_directories_command): New function.
        (_initialize_source): Install "directories" as a set/show
        variable instead of just a show command.

        doc/
        * gdb.texinfo (Source Path): Document "set directories".

        testsuite/
        * gdb.base/help.exp: Update expected output.
        * gdb.python/py-param.exp: Delete, contents moved to ...
        * gdb.python/py-parameter.exp: ... here.  New file.
        Add test for gdb.parameter ("directories").