http://www.fit.qut.edu.au/student/~n2782693/stdout.html
"Unfortunately, the Windows 95/98/ME shell does not allow redirection of the standard error stream to a file. But there is always a solution." This depressing tidbit suggests that this is not possible. If you are in Win 95/98/ME, I would personally recommend running Cygwin to do this kind of work. 'course, that's just me, and I think Unix streams are cool. :)