One of our customers have a lot of PDF that are linked to their site. Some of these PDF files have % in the filename and this causes a HTTP 400 Bad Request and yes they are encoded correctly. The same error happened with other characters such &, * and :
Finally, the solution was found @ dirk.net with an article regarding 400 bad request in IIS7 (But IIS6 also has the same problem and the solution will work there too). You can read about it here.