How can I create files on Windows with embedded slashes, using Python?

Question

After a half hour searching Google, I am surprised I cannot find any way to create a file on Windows with slashes in the name. The customer demands that file names have the

Answer 1

Um... forward slash is not a legal character in a Windows file name?

http://msdn.microsoft.com/en-us/library/windows/desktop/aa365247(v=vs.85).aspx