When installing SQLCMD.exe with Winget or copying the file manually to c:\Windows\System32\sqlcmd.exe when trying to open it CMD gives you two lines

The system cannot find the file specified

By default it will try and connect to Local Host Default instance , you need to give it some parameters , the error is unclear about a file not being found!

sqlcmd -S SQLSERVER\SQLINSTANCEPIPENAME -E

and -E is to specify a trusted connection.