[Doc] Add a note about escaping backslashes inside strings

doc/templates.rst

@@ -587,7 +587,9 @@ exist:
   string. They are useful whenever you need a string in the template (for
   example as arguments to function calls, filters or just to extend or include
   a template). A string can contain a delimiter if it is preceded by a
-  backslash (``\``) -- like in ``'It\'s good'``.
+  backslash (``\``) -- like in ``'It\'s good'``. If the string contains a
+  backslash (e.g. ``'c:\Program Files'``) escape it by doubling it
+  (e.g. ``'c:\\Program Files'``).
 
 * ``42`` / ``42.23``: Integers and floating point numbers are created by just
   writing the number down. If a dot is present the number is a float,