You must type a filename in Windows

you must type a file name

File that start with dot(.) will give you this error message.

Let say you want to create a .htaccess file in Windows.

Solution # 1 

 
Name the file .htaccess. (note the period after the .htaccess)
and the system will automatically get rid of the dot after the .htaccess

Solution # 2 

Use dos to create the file
echo >.htaccess
or edit

Solution # 3 

If you have cygwin, you can create it just like you do in linux
vi .htaccess or
nano .htaccess