All that I can suggest is to connect another device to the network port of the PC to see if the network connection is shared to that device correctly.
Then at least you know if the Pi or PC is to blame.

personally, when things like this take too long I give up, in this case I would just conenct the Pi directly to the router.

@hex

Okidokie I'll see what I can do.

I got my ES environment installed how I like it manually now, should be able to reverse engineer at least some of the RetroPie script to work under Batch/Powershell. Might try to work with it under cygwin or maybe git bash

@moco symlinks are magical things ;)

@FlyingTomahawk you're my hero, it works like a charm !

A big big thanks to you \o/

@muzzy333 I think windows thinks file that end with .img is treated as a virus and fails. I don't have a Win10 machine so I'm not sure how to change config to accept these files.

Another two days, and still no joy on Windows.
I just read HERE, however, that installation of Apple Bonjour is recommended as a way to help the raspberry Pi getting an IP, when connecting it via direct ethernet cable on Windows...I don't really remember if I have already installed Bonjour or not...I will check tonight, anyway, and see if installing/reinstalling it does the trick.
I'm still open to suggestions, eh...don't be a stranger, if you know something I might have missed. ;)