You can try right click>Properties and uncheck Read only, and ok.
You can also try copying it with cmd.
Go to start>run and type cmd,
Type cd C:\ and press enter
Type copy C:\windows\Docum~1\Your_User\Desktop\Your_file_name.the_file's_extension C:\Your_folder and press enter
But, I have to ask, does you original desktop file come from a cd?