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Here is the destination page:
http://wiki.typo3.org/index.php/FAQ#But_where_is_the_script_content_record%C2%A0%3F

And I would like to link it as follow:

[[FAQ#But_where_is_the_script_content_record%C2%A0%3F]]

This link is not generated by mediawiki.

But those work:
[[FAQ#But_where_is_the_script_content_record ?]]
[[FAQ#But where is the script content record ?|But where is the scrip content
record ?]]

You are running a pretty old version of MediaWiki. As you can see on
[[Wikipedia:Help]] (for example), the section links now use a dot (.) for
special characters:

http://en.wikipedia.org/wiki/Wikipedia:Help#How_do_I_do_that.3F

If upgrading to the newest version still does not fix your problem, please feel
free to reopen this bug.