Steps to reproduce:
1. Open home folder on Ubuntu (file system ext3 or ext4)
2. Make new file called "Cambridge 08\09 images.zip"
3. Insert a USB key made in Windows (file system vfat or ntfs)
4. Copy file to USB key
=> Nautilus complains:
Error copying
Error making file "Cambridge 08\09 images.zip".
> Show more info
- Invalid filaname

The reason is that the reciving file system (vfat/ntfs) cannot have the character "\" in their file names. 

In a situation like this Nautilus or GnomeVFS should
a) automatically rename the file to something like "Cambridge 08-09 images.zip" and notify the user that the files was renamed to avoid illegal characters

b) give a better error message, like:
Error copying
Error making file "Cambridge 08\09 images.zip".
> Show more info
- The file contains characters, that are invalid on the target file system. Rename the file and try again.