Do the filenames really contain spaces? In general this is no good idea.
However, I searched for Invalid data set name
in the program files of UltraEdit and could not find it. So I thought that the error message comes from the server itself.
Therefore I searched with Google for "Invalid data set name"
and found lots of pages. Most of them contain also the keyword MVS. I don't know anything about MVS as used on System/370 and System/390 IBM mainframe computers and therefore can't help further.
It might help to change the Server Type
to the right one needed on Server
tab of the FTP Account dialog for this account. But I don't know which one is the right one. If you don't know, try one of the other.