I started writing the \input{...}
command, but I had not finished writing the file page, hence I had not closed the expression yet.
I'm not 100% sure but I think that I cliked somewhere else or in another window to get the exact path to copy/paste.
TexStudio asked me if it should create the non-existing file. By disctration, I clicked "Yes", at the that point, it create a series of folders named from sections of my .tex file code. Last folder was called " C$ ".
This series of folder was quite complicated to remove from file system. Not sure how, but I think TexStudio should be prevented to do such a thing in the first place. Maybe it could stop at line feed since I don't think line feeds can be part of a folder/file name.
Using TexStudio 2.12.4 on Windows 10.