Hi Heiko,
Perhaps your file z.tex is not in the current directory, but in the search path of TeX input files. Then the shell may not find a file that ends in "z.tex". In this case the "*" remains and the program "pdfetex" gets as argument the unexpanded "*z.tex".
Nope, I tried on the current directory. To summarize; under bash (linux or cygwin) environment and gcc as a builder, things are consistent, although seems to be mysterious. To be on safe side, a star should be quoted. Under windows the behaviour is environment/compiler dependent. Binaries made by M$ compiler behaves quite well; the star is not expanded anyhow by shell and is passed to TeX as is. Consequently, it CAN'T be quoted with backslash, since TeX reports `Undefined control sequence \*' then. Windows binaries made by gcc under cyg environment works like those under linux. That is the whole mystery. -etex commandline option will fix the inconsistency. BR, -- Pawe/l Jackowski P.Jackowski@gust.org.pl