And thank you very much for your quick response.
I have renamed 'JLinkExe' to 'JLink.exe' in line 20 of my local jlink.py.
I also renamed 'JLinkGDBServer' to 'JLinkGDBServer.exe' in line 23 of my local jlink.py.
I then updated the PATH environment variable with "c:\Program Files (x86)\SEGGER\JLink_V640\", where the exe files are located.
After this I can type both JLink.exe and JLinkGDBServer.exe on the command line of the cmd window from the build directory of the "hello_world" sample, and both programs starts.
But if I type ninja flash, I still get the same error.
I hope this feedback can help fixing this Windows issue.