When a filename, or the path to a filename, is being used in the scp command the usual shell escaping mechanism of using a \ does not work.
To allow paths and/or filenames that have spaces to be used quote the path AND use the \ escaping.
For example
This will NOT work:
scp username@server:/directory\ name/with\ a\ filename\ with\ spaces .
The following WILL work
scp username@server:"/directory\ name/with\ a\ filename\ with\ spaces" .
HTH.