I think I figured it out. I was copying from the desktop and the directory to the desktop has spaces in the name. For some reason this doesn't affect files, just when you move directories.
Could someone please tell me what the "No spaces in filename" error using GPLink really means? For example, I get it when I try to copy the BnB game to my GP32 and there are no file names that I can see that have spaces in them. Seems to have something to do with copying folders.