Everything works as expected on Windows 10:
Code used:
String urlString1 = "http://learningprocessing.com/code/assets/sunflower.jpg";
println(urlString1);
println();
String urlString2 = dataPath("") + "\\" + "animation.gif";
println( urlString2);
What does a MAC do with above for comparison? Save sketch first.
Reference for use of \\:
:)