In my experience, you can use the `./` syntax on Windows if you surround the program path in double quotes, i.e. `"./example"`.

I learned this while working on [Larceny](https://github.com/larcenists/larceny/blob/4bfd2d2571d3f11f9a51e2d5fa5982211fb276cb/doc/HOWTO-BUILD#L228) but I do not know the reason that it works.