Because of a known limitation with Microsoft Access, you can only create a database in a folder that has a path with no spaces including the filename. Once the database has been created, it can be named any valid filename, and placed and used anywhere you wish, but you can't CREATE it with a name like My Database, or in a folder like My Documents.
This no spaces restriction also applies when mapping a drive path that contains spaces. but the path name does not, creating a subset database or upgrading a database to a new version.