[plt-scheme] How should PLTCOLLECTS work?

The doc says that:

"If the PLTCOLLECTS environment variable is defined, it is combined
with the default list using path-list-string->path-list."

Setting it to "C:\collects" on Windows XP with PLt 4.1.4 results in
this message when DrScheme is started:

lib: standard-module-name-resolver: collection not found: "drscheme"
in any of: (#<path:C:\collects>) in: (lib "drscheme/drscheme.ss")

[Exited]

DrScheme does not start.

What did I do wrong?