In emacs 22 on windows should grep work?

I am typing m-x grep which opens a line in the mini buffer that says

Run grep (like this): grep -n

and a message saying:  Grep started at Tue Jan 23 21:19:22

I then add, as shown in the grepmode wiki the following to the mini buffer

-e setq ~/.emacs

giving me a full line in the minibuffer of

Run grep (like this): grep -n -e setq ~/.emacs
hit return and get a message that says

'grep' is not recognized as an internal or external command,
operable program or batch file.

Can anyone point out what I am doing wrong.

Many thanks,

Graham