Thanks everyone. I've found a workaround here
(http://bugs.debian.org/cgi-bin/bugreport.cgi?bug=259390).
Assuming that the filename is a.z.eps, we can define
\newcommand\DOT{.}
and then use the following code for including the graphic file:
\includegraphics{a\DOT z.eps}
Cheers,
Chiara