unable to move/drag an exe file into a folder

My downloads default to my desktop. I have a folder in which I like to save any exe files I've downloaded, and usually I am able to just drag the files right into this folder. Sometimes, though, I can't seem to get the file to GO there. It's happened again today: whenever I try to drag the file into the folder, what happens instead is that a shortcut is created within the folder, but the file itself remains on my desktop.
Is this a quirk of individual exe files, or something with my computer? I know if I use Star Downloader I can direct my downloaded files to be saved in the appropriate folder right from the get-go, but I'm curious as to why I'm sometimes unable to drag/drop files into folders.
Any ideas?

 

Drag the file with the right mouse button and you'll get a menu that allows you to copy, move, create a shortcut, or cancel; then you'll get what you want!

 

Son of a gun - it worked like a charm! Never thought of trying to copy and paste a file in that way.
Thanks for the lightning-speed reply/solution!

 

You're welcome! And right-click everything in sight 'till you see how valuable it is.