Me i know.
I'm not sure if it's still relevant to new operating system like XP, but in older system, the total lenth of a path including the file name could not be greater than 255 caracthers. But even if it's not a problem anymore for recents system, MX still think it is.
I had the same problem. I fix it easy (for me) by creating a new partition in wich i created a new folder with a short name and said to MX to put his incomplete and complete files there.
I think you could avoid the partition thing and just make a new "download" folder at the root of any existing disk or partition.
See ya.