Sorry, I forgot to add this information.

I did try 1.6.1 and 1.7.4 all with the same results.
Log entries do not show anything useful apart from the request being received in access log and derived to upstream server. No errors on error log.

The configuration is the default nginx config plus one virtual server and locations as the following:

upstream filesvr {
server localhost:8888;
}

server {
listen localhost:8888;
server_name server2;
client_max_body_size 20M;
charset UTF-8;

location /some/images/ {
alias c:/images/;
}
}

server {
listen localhost:80;
server_name server1;
client_max_body_size 20M;
charset UTF-8;

location /some/images/ {
proxy_http_version 1.1;
proxy_set_header X-Real-IP $remote_addr;
proxy_set_header Host $http_host;
proxy_set_header X-Forwarded-For $proxy_add_x_forwarded_for;
proxy_pass http://filesvr;
}
}

It is worth to mention that I´m trying to get this to work on windows just for development purposes. The deployment is on linux servers and it actually works as expected.

Thanks for your responses!