First off, when using grep, you don't need to specify the any characters .* combination. Grep is already built to look for your phrase (Example grepping for he in a file that has a line that says Hi there will return the full line without the need to use .*he.* as your regex does)
Second (And I see anubhava beat me to the punch on this one as I was typing), the backslash escaping works differently depending on your use of quotation marks.
If you are using single quotes, the single backslash will escape the second, so you need two, so your regex will be H:\\Check.
If you are using double quotes (As you are), the backslash will escape the other backslash while the quotes are evaluated, then the resulting backslash will be trying to escape the C (which isn't even close to what we want), so you actually need a third backslash so that they escape correctly.
If you wanted to do it without quotes (which in my opinion isn't very good style, but since you have a single phrase you could if you really wanted to), you would actually need 4 backslashes for a similar reason. The \ would normally let the command continue to the next line, so the first escapes the second, the third escapes the 4th, then there are only 2 when grep is evaluated, which is the escaped correctly.
You should try playing around with Grep some more to see what it's capable of, it can do basically any searching you ever want (and much more that you'll never want) as long as you know the syntax.
Edit: Fixed a little syntax, thanks. I didn't know about that * converts text to italics on these answers.