[SaswatPadhi]

That problem is faced by many, I had also faced in VBScript !!

Well, the solution is to wrap the file-name with an extra pair of quotes.
The modified code looks like this :

function runXZNNespritsPMz()
{
      FileName="\"E:\\XZNNesprits\\ZZ XZNNesprits PMz.session\"";
      WSH=new ActiveXObject("WScript.Shell");
      WSH.run(FileName);
}

I think this will work, 'cuz this worked for me in VBScript