The problems you are experiencing is due to the windows file system using the escape character \ (backslash) in its path. Just double it up and you should not have any more problems.
Change your mrjob.conf file to:
runners:
emr:
aws_access_key_id: xxxxxxxxxxxxx
aws_region: us-east-1
aws_secret_access_key: xxxxxxxx
ec2_key_pair: bzy
ec2_key_pair_file: C:\\aa.pem
ec2_instance_type: m1.small
num_ec2_instances: 3
s3_log_uri: s3://myunique/
s3_scratch_uri: s3://myunique/
for more information go visit: http://yaml.org/spec/1.2/spec.html#id2770814