Is Windows really as stupid as it seems?

I've just been converted to psftp as my ftp client. I'm trying to back up a file to pelican. It is at C:\\My Documents\Preprocessing\ Now I have a problem because of the space in My Documents. In the command prompt, I get an error saying 'too many parameters - Diamater\', in psftp itself it just tells me it can't find the directory. This is annoying. I just solved this for this backup by moving the file to the C:\\ (using My computer etc!) but that is an inelegant solution. Is Windows really so stupid as to have directories that the command prompt can't find because of the space? I did try %20 by analogy with URLs but it didn't work.

Oh and I need an appropriate icon for computer related queries. Any suggestions? I also need a cricket icon.