This bug occurs for me as well, and is a regular annoyance. When downloading papers published by Springer, they are given names (by Springer) like 10.1007%2Fs00211-014-0636-y.pdf which always contain a percent sign. If I click on the link to the downloaded file in my browser, instead of getting the file in a PDF viewer, I get the error message from exo-open.
I use xfce4 under Ubuntu 14.04.1 with exo-utils 0.10.2 -- To UNSUBSCRIBE, email to debian-bugs-dist-requ...@lists.debian.org with a subject of "unsubscribe". Trouble? Contact listmas...@lists.debian.org