You place it there with underscores.
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Spaces and underscores are characters, they are both valid.
Just copy paste the path from the address bar, as you are able to select it, add a "\" and then copy paste in there the filename with the extention, should work then.
If you don't see the extention of the file (very likely scenario) open the folder of the file,
* in the menu bar, select Tools
Note: In Vista you need to press Alt to see the menu bar.
* then Folder Options
* in the View tab make sure the "Hide extentions of known file types" option is unchecked. (by default it's checked)