I don't think that is possible. Calibre intentionally change underscores to spaces. There was even a special enhancement applied for that once...
http://oldbugs.calibre-ebook.com/ticket/4272
Typically special characters like +- and so on are not allowed in the filenames. They are replaced with an underscore. So you will have to edit the filename manually.
Also, I am pretty sure that the actual title of the book doesn't include an underscore? Searches for metadata to dowhnload would be more likely to fail with the underscore present.
Another alternative may be to try to add the book and read the metadata from inside the book instead. That way you may even get the correct character that was replaced by the underscore.