I am using MacOSX (Yosemite 10.10) and I have a problem trying to convert from markdown to PDF.
The error message is:
! Undefined control sequence. l.268 for Windows the file is at *C:\Windows

I am using MacOSX (Yosemite 10.10) and I have a problem trying to convert from markdown to PDF.
The error message is:
! Undefined control sequence. l.268 for Windows the file is at *C:\Windows

Your problem here is that \Windows is considered as a macro (control sequence) that does not exist. However, you are probably interested in displaying the literal folder C:\Windows (say).
Similar to how such entries are escaped here on TeX - LaTeX, you need to use backticks to escape inline code:
`C:\Windows`
So, use
... for Windows the file is at `C:\Windows` ...
l.268 (or line 268), which should be in documentation.md.
– Werner
Dec 23 '14 at 17:14