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Are you sure nothing happened? file2 was created, right? I'll bet if you look closely, you'll find the first - on each line was changed to a space in file2. You need to put a 'g' at the end to tell sed to do the replace everywhere, instead of just the first match it finds. So:
sed -e 's/-/ /g' file > file2
should do what you want (the extra backslash you added isn't necessary, but won't hurt either).
Oo, never thought you might have meant the filename instead of the contents. sed works on what's in the file, not the filename... although you could use sed to accomplish that:
mv my-big-long-file "`echo my-big-long-file | sed -e 's/-/ /g'`"
but it would be easier to use the rename command in that case. Check 'man rename'.
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