Well, it's not simply the %20 that is the problem. Here's a simple, straightforward URL that has %20's in it and it downloads just fine. My apologies for the bum steer.
Fred Holmes Microsoft Windows 2000 [Version 5.00.2195] (C) Copyright 1985-2000 Microsoft Corp. C:\Documents and Settings\fholmes\Desktop>WGET http://www.dau.mil/pubs/glossary/ 11th%20Glossary%202003.pdf --15:54:09-- http://www.dau.mil/pubs/glossary/11th%20Glossary%202003.pdf => `11th Glossary 2003.pdf' Resolving www.dau.mil... 128.190.170.224 Connecting to www.dau.mil[128.190.170.224]:80... connected. HTTP request sent, awaiting response... 200 OK Length: 782,785 [application/pdf] 100%[====================================>] 782,785 79.13K/s ETA 00:00 15:54:17 (97.62 KB/s) - `11th Glossary 2003.pdf' saved [782785/782785] C:\Documents and Settings\fholmes\Desktop>