OpenCV 2.4 VideoCapture not working on Windows

I'm using Python bindings to OpenCV 2.4 installed with following instructions.

My problem is similar to this one, but I need Windows machine solution.

Problem: when I try to use

cap = cv2.VideoCapture(0)print cap.grab()

it works fine, but the following code

cap = cv2.VideoCapture(filename)print cap.grab()

always return False.

Path to the file is correct, absolute and has no spaces.

I tried on two machines with Windows XP and Windows 7 with similar results. On Linux (Ubuntu) it works fine for me.