In my case .emacs is at "C:\Users\bjorn\AppData\Roaming\.emacs" Emacs does not set the value of the HOME variable to that location:
(getenv "HOME")
"C:\\Users\\bjorn"
And "Within Emacs, <~> at the beginning of a file name is expanded to your HOME directory, so you can always find your .emacs file by typing the command C-x C-f ~/.emacs." is therefore not true:
(expand-file-name "~/.emacs")
"c:/Users/bjorn/.emacs"
--
mvh/best regards Björn Lindqvist