I think this is more of a mysql issue than a SQLyog issue. mysql supports spaces in the column names but the names must be surrounded by back-ticks. (`). I know this is true in all other cases but I don't import from ODBC or flat files much so I don't have anything to test with.
create a test file with back-ticks around the file names and try to import it. See if that doesn't solve the problem. (Let us know here either way.)
=C=
p..s (IMHO)Spaces in field names and table names are bad. Mkayyyyyy.(/IMHO) 😀