I have learned that to work properly, a link put in the launch menu with the KDE Menu Editor must not contain more than 8 characters in the directory names. I was surprised by this, but it seems true. I made a link to media:/sda1/Documents and Settings/Owner/Application Data/Mozilla/Firefox/Profiles/wau0yyya.default, my Windows partition Firefox bookmarks directory. (The command I entered was "konqueror media:/sda1/Documents and Settings/Owner/Application Data/Mozilla/Firefox/Profiles/wau0yyya.default".) Trying to run that produced a "Malformed URL" error message and caused Konqueror to crash. After a few minutes of head scratching, I truncated the names "Documents and Settings" and "Application Data" to "docume~1" and "applic~1" (the same thing MS-DOS and Windows used to do before Windows supported long filenames). The link now works properly.
Again, I was surprised that the menu wouldn't support long filenames, but I guess it doesn't.

Doesn't sound right to me. I'll bet the problem was the spaces, rather than the length of the entry.

Did you try escaping the spaces with '\' ?

That makes more sense. I stand corrected.

Escaping the spaces with \? Wouldn't that confuse Konqueror by making it think the words were separate directories?

Directories are separated by /
\ is what you use to escape spaces and other characters in directory/file names in the shell.

The standard way to use spaces or otherwise illegal characters is to escape them with backslashes (eg: .../Documents\ and\ Settings/...).

Alternately, you can enclose the entire string in quotation marks to ensure that it gets recognized as a single unit.