If spaces are in the link (i.e. they are not replaces by %20 in the HTML source), the behaviour depends on the browser. NN4 will fail, IE5 and IE6 will save with %20, Moz1.3 and Opera5 will save correctly.
If you think this must be rectified, you'd probably have to use "Content-Disposition" header and test across browsers that its use doesn't create other problems.
<rant>
Allowing spaces in filenames was one of the marketing decisions Microsoft should be hated for, because it has created lots of compatibility gotchas not obvious to the typical user until he stumps into them... even with current MS software.
<rant>
