I use PostgreSQL 9.4.1
My query:
copy(select * from city) to 'C:\\\temp\\\city\\temp\\city.csv'
------//////////////------copy(select * from city) to E'C:\\\temp\\\city\\temp\\city.csv'
ERROR: relative path not allowed for COPY to file ********** Error **********
ERROR: relative path not allowed for COPY to file SQL state: 42602