If you use a link with space (e. g. path to file / folder on the filesystem or the file- or foldername) then you must mask the spaces with %20.
Example in Windows:
Path: "C:\Program Files (x86)\Internet Explorer\iexplore.exe"
In Markdown Syntax
[Start Internet Explorer](C:/Program%20Files%20(x86)/Internet%20Explorer/iexplore.exe)