Windows does set the errno attribute to ENOENT, but the error message
displays the Windows error number (3 -> ERROR_PATH_NOT_FOUND), not the
errno number (2 -> ENOENT).
The Unix errno corresponding to 3 is ESRCH, explaining the confusion,
which can be seen in the following snippet:

>>> shutil.rmtree("foo")
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
  File "Z:\default\lib\shutil.py", line 272, in rmtree
    onerror(os.listdir, path, sys.exc_info())
  File "Z:\default\lib\shutil.py", line 270, in rmtree
    names = os.listdir(path)
WindowsError: [Error 3] The system cannot find the path specified:
'foo\\*.*'
>>> e = sys.last_value
>>> e.errno
2
>>> e.winerror
3
>>> errno.errorcode[2]
'ENOENT'

For reference, see PC/errmap.h and
http://msdn.microsoft.com/en-us/library/ms681382%28v=vs.85%29.aspx