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LaTeX throws away an error messages when you try to include a file with special characters (in a LaTeX sense, e.g., hyphen, dot, underscore) in its name into the LaTeX source file. The FiNK package lets you get away with that. FiNK is an acronym for File Name Keeper. It’s not to be confused with the Fink package for OSX, which allows you to download compiled Open-Source binaries using apt-get in the command line from a common repository.

Here’s an example of using FiNK package with the includegraphics command:

\documentclass[11pt]{article}
\usepackage{graphicx, fink}
\begin{document}
\begin{figure}[h]
\label{fig:figure_label}
\centering
\includegraphics[width=\textwidth]{file-name_with_special_chars.eps}
\caption{The caption goes here}
\end{figure}
\end{document}

(More about  includegraphics was posted awhile ago: here and here)

FiNK source: CTAN.

UPDATE: It seems that with MacTeX 2009, the problem  mentioned at the top does not exist anymore (at least my testings say so)! However, I used to have this problem earlier when I’d use the TeTeX package (its development was stopped in 2006 and it has been superseded by  TeXLive) on  my Linux box.