I use PostgreSQL 9.4.1
My query:
copy(select * from city) to \'C:\\\\temp\\\\city.csv\' copy(select * from city) to E\'C:\\\\temp\\\\city.csv\'
It could be late but i think it can be helpful.
COPY DT1111 TO 'D:/TEST/DT1111_POST.CSV' DELIMITER ',' CSV HEADER;