Yeah, filenames or directory names with certain characters in them (spaces for example) need to be "escaped". The reason for this is, the shell will see the space on the command line, and it doesn't know what to do. Should the space separate arguments? Should the space be taken as part of a single argument? So it's up to the user to write unambiguous commands. There are at least two ways to do it:
Also, if you use tab-completion, and "My Documents" iis the only file/folder that starts with "My", then when you hit tab to complete the filename, the shell will automatically do the necessary escape sequences for you (as in the first example). Tab complete will also work inside a double-quote. If you play with it, you'll see what I mean.