C:\temp>curl --version
curl 7.47.0 (x86_64-pc-win32) libcurl/7.47.0 OpenSSL/1.0.2f zlib/1.2.8 WinIDN libssh2/1.6.0 nghttp2/1.7.0
Protocols: dict file ftp ftps gopher http https imap imaps ldap ldaps pop3 pop3s rtsp scp sftp smtp smtps telnet tftp
Features: AsynchDNS IDN IPv6 Largefile SSPI Kerberos SPNEGO NTLM SSL libz TLS-SRP HTTP2 

Tried downloading a file as follows:

curl www.google.com -o c:\temp\google.html

The output does not get saved in a file called google.html in the
C:\temp folder but 'c__temp_google.html' in the current working folder.