Все оказалось очень просто. А я стормозил очень конкретно...
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Character sequences (6.8.2)
Preprocessor directives use the source character set, with the exception of escape
sequences. Thus, to specify a path for an include file, use only one backslash:
#include "mydirectory\myfile"
Within source code, two backslashes are necessary:
file = fopen("mydirectory\\myfile","rt");