It's not really safe to run a PC as the administrator all the time. It's better to setup two accounts: one standard user, and one administrator. You use the standard user all the time, and the administrator is only to install software.
But back on topic, really no idea why you get this message, did you try to send it somewhere else than the Desktop, in My Documents maybe?
I would suggest you use 7-zip or another software to handle compressed file. Windows can only handle .zip files and other software can handle all formats (.rar files too etc...).