Error loading a text file during creation of data load rule

Hi,
I am trying to load this text file but whenever I open File -> Open Data File and then click on the file, it says "Invalid Blank Character in name". I tried changing the name of the file and everything but I do not understand what it really means. Can anyone help me out please? This seems like a simple error but I am unable to figure it out. Thanks.
-- Adi

As Glenn said, there should not be any space in the path that causes the error.For instance if you have ur file in the desktop(C:\Documents and Settings\Desktop), there would be space in between Documents and Settings. To avoid this, you could directly save in your local disk drive(C:\, D:, E:\).
Regards
Cnee

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