You will find this elsewhere on this forum, as it has been posted before.

This message is given when, and only when you have a space in your data directory path name.

For example, you have:

X:\MY DATA

Instead of:

X:\MYDATA

I believe the space could be anywhere in the path, not just in the data folder itself...

X:\ACCOUNTING\MY DATA\1999 or,
X:\ACCOUNT ING\MYDATA\1999 etc.

The resolution, of course, is to remove the space or replace it with another character, such as "_" (underscore).

Good luck!