Hi @ROBEL_IT and welcome to the checkmk community.
I guess your problem is related to the fact, that a backslash has a special meaning within reqular expressions. Try to escape your backslashes with backslashes. Also dots have special meanings and need to be escaped too. It should look like C:\\Windwos\\Temp.*\.VHDX
EDIT: I mostly use the following page to test my regular expressions: regex101: build, test, and debug regex