MediaMonkey can write almost any character when writing a filename, 
except for those characters that are considered illegal by an operating system.  
In such cases, MediaMonkey substitutes unsupported characters
with 'similar' ones that are supported. For instance '?' or '*' are illegal characters 
in a filename, and can be substituted with '-'. These subsitutions occur
based on a substitution table defined within the MediaMonkey.ini file.

The table is in the [FilenameMappings] section of the MediaMonkey.ini
file, and hexadecimal values are used to define the source character
and characters to which they are mapped. Note that character definitions
must be in the form of UTF-8 encoded strings in hexadecimal form
(those that aren't will be automatically removed on restart of MM).
For example:
[FilenameMappings]
2A=2D
2F=2D
3A=2D
3C=2D
3E=2D
5C=2D
7C=2D

In this example, 3A=2D means that ":" is mapped to "-".
If you wish to look up the hexadecimal values of characters, you can do so via the
"Character map" application included with Windows.

To change the substitution table to better suit your needs:
Close MediaMonkey (so that it doesn't overwrite any of the changes)
Back up the .ini file. If you're not sure where to find it, see:
http://www.mediamonkey.com/support/index.php?_m=knowledgebase&_a=viewarticle&kbarticleid=17&nav=0,2
Open the .ini file inside a text editor such as notepad, edit the [FilenameMappings] section as required, and save it.
Restart MediaMonkey

Note: To ensure that metadata containing a '\' doesn't create a new directory when
using auto-organize, add the following mapping: 5C=2D