It looks like completion may be disabled in the Registry.
There's an explanation below, from the output of
File and Directory name completion is NOT enabled by default. You can enable or disable file name completion for a particular invocation of CMD.EXE with the /F:ON or /F:OFF switch.
You can enable or disable completion for all invocations of CMD.EXE on a machine and/or user logon session by setting either or both of the following REG_DWORD values in the registry using REGEDT32.EXE (actually, just regedit.exe would be fine):
HKEY_CURRENT_USER\Software\Microsoft\Command Processor\PathCompletionChar with the hex value of a control character to use for a particular function (e.g. 0x4 is Ctrl-D and 0x6 is Ctrl-F). The user specific settings take precedence over the machine settings. The command line switches take precedence over the registry settings.
If completion is enabled with the /F:ON switch, the two control characters used are Ctrl-D for directory name completion and Ctrl-F for file name completion.
To disable a particular completion character in the registry, use the value for space (0x20) as it is not a valid control character.