This works for me:

use strict;
use warnings;

while (<DATA>) {
    if (/(.*)\\$/) {print "$1\n"}
}

__DATA__
\windows\server\locales\en_US\help\whxdata\whftdata0.xml
\windows\server\locales\en_US\help\whxdata\
\windows\server\locales\en_US\help\whxdata\whfwdata0.xml
\windows\server\locales\en_US\help\whxdata\whfwdata1.xml
\windows\server\locales\en_US\help\whxdata\whfwdata2.xml
\windows\server\locales\en_US\help\whxdata2\
[download]

prints:

\windows\server\locales\en_US\help\whxdata
\windows\server\locales\en_US\help\whxdata2
[download]

Also, please fix your first closing "code" tag: it should be "/code", not "\code".