I haven't been working with cake shell script for a while but in my last project (CakePHP 1.2.5) I had to cd into the app directory first. Then the script placed the files where they belonged. So make sure you're in your "app" directory before executing cake.bat.
I just noticed that you can tell the script where your "app" directory is with -app parameter. Try this if you can't/don't want to cd to app first.