grep: pipe symbol doesn't work

[Stephen Cox]

I apologise in advance because I am sure that this must be an FAQ, but I 
cannot make the disjunction operator (i.e. pipe = "|") work in Gnu grep as 
implemented on my Windows 98 PC.

I have a file myfile.txt that consists of a single line:
ab

If I say:
>egrep 'a|b' myfile.txt
this should print out the line, but it doesn't.  The pipe symbol for 
disjunction of regular expressions does not seem to work at all.

This example works on UNIX, for example on an ULTRIX box I use, and I think 
it works on Gnu egrep on Linux.

Regards,

Stephen Cox