As described in the documentation, PTH files are only processed if they are in the site-packages directory. (More precisely, they are processed if they are in a “site directory”, but “site directory” itself is a setting global to the Python installation and does not depend on the current directory or the directory where the script resides.)
If the directory containing your script is on sys.path, you could create a sitecustomize.py in that directory. This will be loaded when Python starts up. Inside sitecustomize.py, you can do:
import site
site.addsitedir('/some/dir/you/want/on/the/path')
This will not only add that directory, but will add it as a “site directory”, causing PTH files there to be processed. This is handy if you want to create your own personal site-packages-like-directory.
If you only need to add one or two directories to the path, you could do so more simply. Just create a tiny Python library that manipulates sys.path, and then import that library from your script. Something like:
# makepath.py
import sys
sys.path.append('/whatever/dir/you/want')
# script.py
import makepath
Edit: Again, according to the documentation, there is the possibility of a site-specific directory in %APPDATA%\Python\PythonXY\site-packages (on Windows). You could try that, if in fact you have write access to that (and not just to your script directory).