Problem using exim in Cygwin (filter)

Hi.
I use exiim in Cygwin, and so far sending/receiving mail works fine.
Now I want to use the filtering capability, and I can't seem to make
it work.
Right now, for a test, my .forward file contains:

# Exim filter
pipe "/cygdrive/d/XHOME/bin/tt"

and tt is an executable shell script containing:

(set -x
cat - > /tmp/yan.mail
) 2>/tmp/tt.dbg

But when I receive mail, exim still delivers it to my mailbox instead
of /tmp/yan.mail and /tmp/tt.dbg is not even created, which makes me
think that the filtering capability does not work at all.

I created /etc/exim.conf using exim-config and it contains:

allow_filter

Could someone tell me where to investigate?
Because after searching the web and trying many things, I cannot think
of yet another test.

Thanks.