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The message displayed when you run sqlite3 tells you what's going on.

When you run just sqlite3 from the command line it opens up the CLI "to a transient in-memory database" where you can make tables, run queries, etc. But you're in the CLI now and are using _its_ command prompt, and not Windows', so to open your "persistent database" you would use the .open command.

sqlite3 C:\path\to\file\here.db    is what you would run from the Windows command prompt to start the CLI with it opening a specific db. You're trying to do that command when you're already in the CLI interface, which is the problem.