I'm seeing the same thing when downloading locally and to an AFP share. Oddly, it looks like : is prohibited in the Finder and GUI level of OS X, and / is prohibited in the UNIX layer. I named a file with a / in it, and in Terminal the filename shows as containing :. So it looks like OS X is doing some weird things to maintain backwards compatibility, as the : restriction is from the pre X days.

The Jemplode source link appears broken, anyone have a copy handy of it? I never noticed this particular problem as I tend not to download much back off the empeg.