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The Creighton Typo3 trainers do an excellent job of covering this in the Typo3 class. You can find it in the handout from that class on page 15. If you cannot find your copy you may download one from here (pdf, doc). The class is also available in Bluetrain.
The file size limit is 50mb. If you have something larger you want to upload, please contact the webteam. If it's a movie, the best solution really is to put it on windstream or even better YouTube. YouTube converts your movie to a file type that anyone with flash can watch. And it's very easy to embed them into your pages (instructions are located here)
Really that depends on your needs. If you need to distribute an executable file it is a good idea to compress it first so that user's are not hindered by trying to download an executable file.
When using Microsoft Office files (.doc, .docx, .xls, .xlsx, ppt, pptx etc), consider your users. Will they all own Microsoft Office (or the appropriate viewer for the document)?
And in the case of Office 2007 files (.docx, xlsx, pptx etc) do they own Microsoft Office 2007? These files are not backward compatible so that someone with Office 2003 cannot open them.
An alternative is Google Docs. Here you can create flash based powerpoint presentations that are accessible to anyone with a flash player. You can import excel spreadsheets and convert them to a format that all can see, you can create complex word documents.
Typo3 will replace spaces in file names with an underscore. So "my image of my project.jpg" would become my_image_of_my_project.jpg.
Typo3 will also remove the spaces in newly created files.
Where it can become a problem: If you are compiling a flash application or another compiled application (that we are going to host for one reason or another) that is including another file, an MP4 for example and you have spaces in that MP4's name. Then you upload these files. Typo3 removes the spaces and your flash application will no longer be able to find the file. It doesn't know the MP4 no longer has the spaces in the name.
Overall, it's best to avoid spaces in file names.