Eryk Sun added the comment:

> FindFirstFile naturally fails with ERROR_PATH_NOT_FOUND

Getting this error actually depends on the file system. I don't see it with 
NTFS, which returns STATUS_NOT_A_DIRECTORY, which gets translated to 
ERROR_DIRECTORY. On the other hand, VboxSF (VirtualBox shared folder) returns 
STATUS_OBJECT_PATH_NOT_FOUND, which gets translated to ERROR_PATH_NOT_FOUND.

Also, there are many possible errors when trying to list a path on a device 
that isn't managed by a file system (e.g. \\.\PhysicalDrive0). The device can 
return a status value that FindFirstFile doesn't special case, such as 
STATUS_UNSUCCESSFUL, STATUS_NOT_FOUND, or STATUS_OBJECT_NAME_INVALID. The 
NtOpenFile call may even succeed, but then the NtQueryDirectoryFile will 
probably fail with STATUS_INVALID_DEVICE_REQUEST.

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Python tracker <rep...@bugs.python.org>
<http://bugs.python.org/issue29366>
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