
This feature creates a link like this one:
https://my%2Esite%2Ecom/Meetings/Meeting%20Agenda%20Template.doc
Notice how the server name is URL encoded too. The %2E's should be periods, e.g.
https://my.site.com/Meetings/Meeting%20Agenda%20Template.doc
This seems to be a known bug, and some options for fixing it are listed here:
http://forums.microsoft.com/MSDN/ShowPost.aspx?PostID=1540990&SiteID=1