> is that %3a some kind of escape or can I just type it in like that?

Yes to both parts of the question.

It is URL encoding (https://en.wikipedia.org/wiki/Percent-encoding),
i.e. the same one you sometimes see in a web browser's address bar. #x3A
is the ASCII code for a colon.

You type it just like that: the filename contains the three-character
string "%3a" verbatim.

The escape is needed because Windows file systems (FAT and NTFS) do not
allow the ":" character in filenames.