How to use a link as footnote that has special characters inside?

Just escape it as per jonalv's post or use the \url command from either the url package of better hyperref as shown below:

\documentclass{article}
\usepackage{hyperref}
\begin{document}
\footnote{{http://msdn.microsoft.com/en-us/library/ee804826\%28Surface.10\%29.aspx}}

\footnote{\url{http://msdn.microsoft.com/en-us/library/ee804826\%28Surface.10\%29.aspx}}
\end{document}

If you don't want to escape %, another solution was discussed here.

In short, load hyperref and define a new macro \urlfootnote as follows:

\makeatletter
\newcommand\urlfootnote@[1]{\footnote{\url@{#1}}}
\DeclareRobustCommand{\urlfootnote}{\hyper@normalise\urlfootnote@}
\makeatother

Now, you can type

\urlfootnote{http:///msdn.microsoft.com/en-us/library/ee804826%28Surface.10%29.aspx}

This will also typeset the URL in typewriter font and make it a link. If you don't want this, replace the definition of \urlfootnote@ by \newcommand\urlfootnote@[1]{\footnote{#1}}.

Isn't it enough to simple escape the % with \ or am I missing something here? That is:

\footnote{http://msdn.microsoft.com/en-us/library/ee804826\%28Surface.10\%29.aspx}