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Note: this thread is NOT about if it is better seo to use dashes or underscores, thats another subject.
The reason I ask is that customes sometimes send me a dozen word docs or pdfs for downloads on their site. I go through removing spaces in the document names, but this is boring and it would be nice if I didn't have to do it. These downloads do NOT requie seo.
Filenames with %20 in them simply look wierd and soon become cluttered and unreadable.
Get your clients to replace the spaces with something else. You talk of the hyphens vs. underscore debate; but no-one ever mentions my favourite which is to have dots between the words:
http://www.domain.name.com/some.folder/other.folder/the.document.on.the.site.html
Spaces in filenames don't work well in all browsers
Consider also that links to the page may be cut and pasted elsewhere (e.g., in email) where they may be clickable, but will be broken at the space and so not send people to the proper destination.
When I'm given files with spaces in the name, I frequently simply remove the spaces and, to improve the readability of the names, capitalize the beginning of each new word (rather than adding hyphens or underscores).