How PostgreSQL Copy command work on Windows?

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I need to copy table data into text file on Windows in csv format. How to do that?

What I have tried:

COPY test TO '"E:\\test.csv"' DELIMITER ',' CSV HEADER;

I am receiving an error while executing this query. That test.csv file have to create first before copying data into that.

ERROR: relative path not allowed for COPY to file SQL state: 42602

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This will work providing you have permissions. It will put the csv file at the root directory of the same drive that Postgresql is installed on, probably C:

COPY test TO '\test.csv' DELIMITER ',' CSV HEADER;