Hello,
I experienced this bug in 4.0.1, but since the thread "Notepad++ v4.0.2 is released" by donho doesn't report this being fixed, I assume this bug also exists in 4.0.2:
When opening a file whos name contains spaces, NPP has a problem. It works fine when you doubleclick the file in Explorer and NPP is not opened, but when NPP is already opened it gives the message "[filename] doesn't exist. Create it?" Then it gets even stranger:
For example: open a file "Copy of index.php". NPP asks "Copy doesn't exist. Create it?". When you click No, it asks "of doesn't exist. Create it?" When you click No again and index.php exists, it will open that file!
It's a very annoying bug, that didn't exist in 3.9 as far as I know, and I hope it will get fixed very soon.

Thanks,
ZanderZ