If you want to replace COLNAME| with COLNAME"|" in Windows, using the GNU sed, you can use
"C:\Program Files (x86)\GnuWin32\bin\sed.exe" "s/COLNAME|/COLNAME"^""|"^""/g"
Here, COLNAME| matches COLNAME| and COLNAME"^""|"^"" forms the literal COLNAME"|" replacement since COLNAME" ends the quoted string, ^" appends a literal " char to the sed command, "|" appends a | char to the sed command and then ^" appends another literal " to the sed command, and the next " starts the finishing part. The g flag makes it match and replace all occurrences.
If you want to replace COLNAME"|" with COLNAME in Windows, using the GNU sed, you can do that with
"C:\Program Files (x86)\GnuWin32\bin\sed.exe" "s/COLNAME"^""|"^""/COLNAME/g" FILENAME
"C:\Program Files (x86)\GnuWin32\bin\sed.exe" "s/COLNAME\x22|\x22/COLNAME/g" FILENAME
"C:\Program Files (x86)\GnuWin32\bin\sed.exe" "s/COLNAME\d34|\d34/COLNAME/g" FILENAME
Mind that you need to enclose the substitution command with double quotes and to match a double quote, you can't simply use a " or a \", you can match it with an escaped ^", or with \x22, a hex reprentation of the char, or \d34.
Note that in "s/COLNAME"^""|"^""/COLNAME/g", the sed command is built in the following way:
"s/COLNAME" sets the beginning
^" appends a literal " char to the sed command
"|" - adds | pipe char
^" - adds another "
"/COLNAME/g" - finishes off the sed command with the replacement and the global modifier/flag.