First: it is a warning, not an error. You might ignore it, but fixing it is recommended.
Second: read the error message:
Quote:
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Filename contains spaces.
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Your file names contain white spaces, indeed.
Third: read the suggestion:
Quote:
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Consider changing filename such that URI escaping is not necessary!
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Together with the previous message, it suggests you to remove white spaces from the file names. For the reason, googling "URI escaping" will point you to:
http://en.wikipedia.org/wiki/Percent-encoding