Use prefix to allow exceed Windows MAX_PATH
Does this mean the `FileNotFoundError` that avoids infinite loop can be removed? Yes, I think so... Or maybe we could leave it in case a relative path exceeds the MAX_PATH limit?  > Or maybe we could leave it in case a relative path exceeds the MAX_PATH limit?

What about converting relative paths to absolute? Nice ! Have you had a chance to test it on a windows machine with the max path limit enabled ? Afaik the CI doesn't have the path limit Sure @lhoestq: I've tested on my machine... And this fixes most of the tests... 😅 
By using this prefix, you can exceed the Windows MAX_PATH limit.

See: https://docs.microsoft.com/en-us/windows/win32/fileio/naming-a-file?redirectedfrom=MSDN#win32-file-namespaces

Related to #2524, #2220.