Data set not found during load data infile

Hello experts:
I'm having a problem trying to do a load dat infile in mysql.
I get this error message: File 'c:\extract.dat' not found (Errcode: 2)

here's my query:
LOAD DATA INFILE 'c:\\extract.dat' INTO TABLE extract FIELDS TERMINATED BY '|';

The extract.dat exists on the c:drive.

thanks