The so-called "backslash" used in windows has a function in python, Unix systems, regular expressions and some other programming languages such as C and Perl, its function is to indicate that the following character should be treated in a special way, in this context is also called escape caracater that can form a scape sequence, see some of them (note the "Contrabarra"):
\a - BEL Bell
\b - BS (ascii) BackSpace
\f - FF Formfeed
\n - LF NewLine
\r - CR Carriage Return
\t - HT Horizontal Tabulation
\v - VT (ascii) Vertical Tabulation
\' - Apóstrofe (Single quotation mark)
\" - Aspas (Double quotation mark)
\\ - Contrabarra
\ooo - Caracter ASCII em notação octal
\xhhh - Caracter ASCII em notação hexadecimal
Since python also uses the backslash as the beginning of escape sequences, in the case of your question, it is making a kind of "escape from escape", that is, indicating to consider the next character as a common character and not as the beginning of a scape sequence.