Different platforms have different limitations. In order to play nice with all devices in an organization, some limits have been set on how you can name Files, Folders and Shares.
The following characters can not be used:
X / - Slash
X \ - Backslash
X : - Colon
X * - Asterisk
X ? - Question mark
X " - Double quotation mark
X < - Less than
X > - Greater than
X | - Pipe
You can read more about filenaming on Wikipedia.
Furthermore, long file paths should be avoided, as Windows has a built-in limit of 255 characters for a full filename starting from the drive letter and ending with the file extension, spaces included.
This means that the full filename of the file that is under "U:\My Share\My Folder\My File.txt" will be 33 characters long. Other applications may have even lower limits.