Commands history with psql in a Windows command line shell

Hello,

I am using "psql" in "cmd.exe" in Windows (8.1).

Below is the command I use to connect to a database with "psql":
cmd.exe> psql -p <tcp_port> -U <username> <database_name>

My problem is the following.
Suppose I enter one command:
<database_name># SELECT * FROM <a_table_1>;
and then another one:
<database_name># SELECT * FROM <a_table_2>;
The commands history "is not working": meaning I cannot retrieve these
last two commands I entered by hitting the top arrow key.
Instead, I have to type them again.

To try to solve the problem, I entered the command:
<database_name># \set HISTSIZE 100
but it didn't change anything.

Yesterday, I don't remember what I did, but I could access the commands
history using Powershell, maybe the command "\set HISTSIZE 100" and
maybe a "psqlrc" file.
But whatever I've been trying to do since, I can't make it work again.

Can you please advise me what to do to make this work?

Best regards.
--
Léa Massiot