Adding a shapefile with a URL with a space in it could be a problem. I tried to use:
file:c:\"Documents and Settings"\...
But this will cause your .xml file to be invalid!!!
It possible that just typing in a space will be okay, but
1) we should add some documentation to the page to explain what to do
(ie. they could possibily want to move the file to the GEOSERVER_HOME dir)
2) we should give a few "for examples", including what to do for directories with
spaces in them and how we want the "file:" portion to look like