How to avoid strange characters with Internet downloaded file names

I use Ubuntu Studio 15.10, in my desktop PC, and Lubuntu 15.10, in my laptop.

With both OS, I get strange characters into the downloaded file names from Internet. I mean, file names with spanish (latin) characters, originally.

For example: if the original file name is:

Danos, ¡Oh, Dios! (versión simplificada).mid,

I get:

Danos, ┬бOh, Dios! (versi├│n simplificada).mid

How can I fix it?

I have all the regional language (Spanish, Chile and Spain) files installed and working, without errors.

What's wrong, here?